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This article addresses model risk in financial domains involving risk management in the context of new regulations and requirements. We first review the major quantitative methods involved in risk forecasting and the two distinct approaches towards defining model risk: the value approach and the price approach. Then, we discuss model risk from regulatory and accounting perspectives, in light of the decisive roles of BCBS 239 and IFRS 9 and their associated challenges. We further discuss the recent regulatory developments on model risk management.