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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with ... describes some hidden risks involved with choice of model and calibration. Statistical methods 9/17/2019 ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Short Cuts: Easy Yield Curve Fit
cuts, rules of thumb, estimators, modeling tips, etc. The featured problem is fitting the intermediate ... intermediate points for a real-world stochastic model of interest rates. Discount rates=Interest rates;Yield curve=Term ...- Authors: Joseph Koltisko
- Date: Aug 2010
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models