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Friday, April 27, 2018 — 9:00 AM to 3:00 PM EDT
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Friday, May 4, 2018 — 3:00 PM to Sunday, May 6, 2018 — 6:00 PM EDT
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Saturday, May 12, 2018 — 8:00 AM to 6:00 PM EDT
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Monday, June 25, 2018 — 4:00 PM EDT
Pauline Barrieu

Assessing financial model risk


Model risk has a huge impact on any financial or insurance risk measurement procedure and its quantification is therefore a crucial step. In this talk, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility. We illustrate the various notions by studying some relevant examples, so as to emphasize the practicability and tractability of our approach.

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