ERM Glossary: Model risk

[this page | pdf | references | back links]

Model risk is the risk that we select the wrong model to characterise risk, or implement or interpret it incorrectly.


Kemp and Patel (2011) identify at least four different types of model risk, including:


-      Model selection risk

-      Model construction risk

-      Model parameter risk

-      Model output misinterpretation risk


Contents | Prev | Next

Desktop view | Switch to Mobile