Real world quantitative risk management: estimation risk and model risk

December 2, 2013

(This article was first published on Quantifying Information » Rbloggers, and kindly contributed to R-bloggers)

Real world quantitative risk management is more than deriving risk from a given model. In reality, we do know neither the true structure of the model, nor its parameters. Hence, measuring risk in reality always entails estimation risk and model risk.

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