Quantitative Finance > Risk Management
arXiv:2111.14631 (q-fin)
[Submitted on 23 Nov 2021 (v1), last revised 16 Jun 2026 (this version, v2)]
Abstract:Model risk in credit portfolio models is a serious issue for banks but has so far not been tackled comprehensively. We will demonstrate how to deal with uncertainty in all model parameters in an all-embracing, yet easy-to-implement way.
| Comments: | 12 pages, 2 figures. This version: minor corrections, updates, and comments |
| Subjects: | Risk Management (q-fin.RM); Probability (math.PR); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM) |
| MSC classes: | 91G40 |
| Cite as: | arXiv:2111.14631 [q-fin.RM] |
| (or arXiv:2111.14631v2 [q-fin.RM] for this version) | |
| https://doi.org/10.48550/arXiv.2111.14631 arXiv-issued DOI via DataCite |
Submission history
From: Christian Meyer [view email]
[v1]
Tue, 23 Nov 2021 13:12:47 UTC (293 KB)
[v2]
Tue, 16 Jun 2026 08:16:51 UTC (295 KB)
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