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UNCC - IRF Conference on Model Risk

Start date

March 18, 2016

Where

North Carolina, USA [Map it]

Details

The Belk College of Business at the University of North Carolina at Charlotte (http://belkcollege.uncc.edu/about-college/departments/finance) and the International Review of Finance (http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-2443) will jointly organize a conference on model risk on March 18, 2016, in Charlotte, North Carolina. The conference will cover a broad range of topics related to model risk, including model risk governance framework, model risk measurement, asset pricing under model risk, model risk management, and model risk reserves.

We look for papers on theoretical modelling, methodological developments and empirical studies concerning these topics. Topics of interest to the conference include, but not limited to, the following:

• Classification of model risk

• Measuring model risk

• Model risk measurement tool

• Asset pricing under model risk

• Parameter uncertainty and model parameter estimation

• Model calibration and inconsistency

• Model risk management

• Model risk reserves

• Model risk governance framework

• CCAR and model risk

• Large scale data analysis and model risk

• Robust approach to model risk

In addition to academic presentations, the conference will feature speakers and panelists from financial institutions and regulatory bodies working on these related issues to promote mutual understandings between academics and practitioners.

PAPER SUBMISSION A complete paper in PDF format must be submitted electronically by December 18, 2015 to irf-2016@uncc.edu.The authors of the papers accepted to the conference will be notified by January 18, 2016.

DUAL SUBMISSION TO THE INTERNATIONAL REVIEW OF FINANCE The International Review of Finance plans to publish a special issue on model risk. Papers submitted to the conference may be considered for the special issue if the authors have indicated their preference for the dual submission process to the journal.