April 2019
Intermediate to advanced
426 pages
11h 13m
English
Perhaps after extensive backtesting, you may find yourself with a good-quality model. How long is it going to stay that way? In model risk, the market structure or the model parameters may change with time, or a regime change may cause the functional form of your model to change abruptly. By then, you could even be uncertain that your model is correct. A solution that addresses model risk is model averaging.
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