Fontana, Roberto _Luciano, Elisa _Semeraro, Patrizia - Model risk in credit ...

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Received: 19 July 2019  Accepted: 24 July 2020
DOI: 10.1111/mafi.12285

ORIGINAL ARTICLE


Model risk in credit risk
R. Fontana1         E. Luciano2           P. Semeraro1
1Department of Mathematical Sciences G.
Lagrange, Politecnico di Torino, Corso         Abstract
Duca degli Abruzzi, Torino, Italy            We provide sharp analytical upper and lower bounds for
2ESOMAS Department and Collegio             value-at-risk (VaR) and sharp bounds for expected short-
Carlo Alberto, Università di To ...

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关键词：Luciano Credit Lucian Robert Rober