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| Correlation and Dependence in Risk Management Presentation of pitfalls and potential corrections for correlation's role in risk management. | |
| The Future of Modelling Examination of the limits of standard models for valuation of financial securities and extensions to these models. Presented by Emanual Derman of Goldman Sachs. | ||
| Linear Correlation Estimation Analysis of the failure of risk models to adjust for correlation variance, and suggestion for improvement. Offered by Philip Lindskog of the University of Zurich. | ||
| Interest Rate Model Risk Definition, identification, and proposed solutions for interest rate model risks. | ||
| On the Determination of Coefficient in Robust Regression Analysis of the importance of the determination coefficient in determining the robustness of regression analysis. | ||
| Model Risk Analysis of risks associated with using models to determine the value of financial securities, by Emanual Derman of Goldman Sachs. | ||
| The Derivatives 'Zine: Model Risk Provider of news, analysis, and discussions of model risk and its relevance to risk management. | ||
| Duration Mismatch Strategies Article from the Global Custodian in the Fall 1997 issue that discusses the problem of duration mismatches when using futures to hedge. | ||
| Model Risk Analysis for Bond Options in a Heath Jarrow Morton (HJM) Model Analytical expression of risks associated with the HJM model, and implications for hedging and risk management. | ||
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