Special Issue "Model Risk and Risk Measures"
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (30 May 2020) | Viewed by 19470
Interests: structured finance; credit risk; financial markets and risk management; real estate finance and model risk
Risk management is a fundamental activity in finance, insurance, and economics. Over the years, a myriad of risk measures have been proposed in the literature and are now widely used in practice. Yet, the risk associated with estimating those measures using samples of data is not fully understood. In this volume, we explore new facets of model risk related to the computation of risk measures. This covers different estimation procedures, impact of data frequency and length of sample data, and sensitivity due to model selection. Special attention is devoted to the role played by risk measures in satisfying conditions imposed by regulators on economic agents and institutions. To this end, we invite you to contribute theoretical, applied, computational, and comparative analysis articles that can help to advance knowledge on model risk-selection, estimation, and pitfalls for risk measures such as value-at-risk, expected shortfall, median shortfall, betas, skewness, the Aumann–Serrano measure, and the Foster–Hart measure. Research related to model risk involving credit default swaps, liquidity measures or risk parity is also encouraged. Another important facet of risk measures is the evolution of statistical features of risk measures over time and geographically across countries/economies.
Prof. Dr. Radu Tunaru
Prof. Arturo Leccadito
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Risks is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- Risk measures in finance, insurance, and economics
- Estimation risk
- Model identification risk
- Monte Carlo simulation
- Financial data
- Market risk
- Credit risk
- Liquidity risk
- Computational pitfalls