Model Risk. Concepts, Calibration and Pricing: Table of Contents

Introduction Rajna Gibson		xi
Overview: Model Risk Michel Crouhy, Dan Galai and Robert Marky		xvii
	DERIVATIVES PRICING AND HEDGING UNDER MODEL RISK
1.	Market Risk and Model Risk for a Financial Institution Writing Options Stephen Figlewski and Clifton T. Green	3
2.	Contingent Claim Models with Deterministic Volatility: Model Error vs. Poor Estimation Eric Jacquier and Robert Jarrow	35
3.	Empirical Performance of Alternative Option Pricing Models Gurdip Bakshi, Charles Cao and Zhiwu Chen	65
4.	New Insights into Smile, Mis-pricing and Value-at-Risk: The Hyperbolic Model Ernst Eberlein, Ulrich Keller and Karsten Prause	101
5.	Market Illiquidity as a Source of Model Risk in Dynamic Hedging Rüdiger Frey	125
	MODEL RISK AND INTEREST RATE RISK
6.	The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence Clifford A. Ball and Walter N. Torous	139
7.	Is the Short Rate Drift Actually Nonlinear David A. Chapman and Neil D. Pearson	155
8.	Model Risk with Jump-Diffusion Processes Aydin Akgün	181
	VAR METHODOLOGIES UNDER MODEL RISK
9.	Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time Matthew Pritsker	211
10.	A Comparison of Analytical VAR Methodologies for Portfolios that Include Options Stefan Pichler and Karl Selitsch	253
11.	A Comparative Anatomy of Credit Risk Models Michael B. Gordy	267
12.	Regulatory Evaluation of Value-at-Risk Models Jose A. Lopez	289
13.	Risk Capital and VAR Paul H. Kupiec	309

Please send comments and suggestions to Uwe Schmock, email: schmock@math.ethz.ch. Last update: March 27, 2001

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