Model Risk and Regulatory Capital

F.L.J. Kerkhof, B. Melenberg, J.M. Schumacher

Research output: Working paperDiscussion paperOther research output

363 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages57
Volume2002-27
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-27

Keywords

  • capital requirements
  • (coherent) risk management
  • option pricing models
  • derivative pricing models

Cite this

Kerkhof, F. L. J., Melenberg, B., & Schumacher, J. M. (2002). Model Risk and Regulatory Capital. (CentER Discussion Paper; Vol. 2002-27). Tilburg: Finance.
Kerkhof, F.L.J. ; Melenberg, B. ; Schumacher, J.M. / Model Risk and Regulatory Capital. Tilburg : Finance, 2002. (CentER Discussion Paper).
@techreport{6b857b42548f416fb37fdaf2107b6c49,
title = "Model Risk and Regulatory Capital",
keywords = "capital requirements, (coherent) risk management, option pricing models, derivative pricing models",
author = "F.L.J. Kerkhof and B. Melenberg and J.M. Schumacher",
note = "Pagination: 57",
year = "2002",
language = "English",
volume = "2002-27",
series = "CentER Discussion Paper",
publisher = "Finance",
type = "WorkingPaper",
institution = "Finance",

}

Kerkhof, FLJ, Melenberg, B & Schumacher, JM 2002 'Model Risk and Regulatory Capital' CentER Discussion Paper, vol. 2002-27, Finance, Tilburg.

Model Risk and Regulatory Capital. / Kerkhof, F.L.J.; Melenberg, B.; Schumacher, J.M.

Tilburg : Finance, 2002. (CentER Discussion Paper; Vol. 2002-27).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Model Risk and Regulatory Capital

AU - Kerkhof, F.L.J.

AU - Melenberg, B.

AU - Schumacher, J.M.

N1 - Pagination: 57

PY - 2002

Y1 - 2002

KW - capital requirements

KW - (coherent) risk management

KW - option pricing models

KW - derivative pricing models

M3 - Discussion paper

VL - 2002-27

T3 - CentER Discussion Paper

BT - Model Risk and Regulatory Capital

PB - Finance

CY - Tilburg

ER -

Kerkhof FLJ, Melenberg B, Schumacher JM. Model Risk and Regulatory Capital. Tilburg: Finance. 2002. (CentER Discussion Paper).