Call for papers

The Journal of Risk Model Validation
Special Issue on Model Risk: Foundations, Quantification and Mitigation

Guest Edited by Christian Meyer and Peter Quell, DZ BANK AG

In September 2017 The Journal of Risk Model Validation will publish a special issue on model risk of internal risk models with a focus on foundations, quantification and mitigation. The Journal is inviting submissions, in the form of research papers, on the following topics:

• Foundations
  • Definitions of model risk
  • Model risk through parameter uncertainty and model specification
  • Regulatory views on model risk
  • Internal models and standard approaches

• Quantification
  • Pros and cons of model risk quantification
  • The role of benchmark models
  • To what extent could model risk be quantified?
  • Models for risk aggregation
  • Combining results of multiple risk models

• Mitigation
  • Structure of comprehensive model risk management
  • Best practice approaches
  • The role of stress tests in model risk assessment and risk model validation
  • Simple models versus comprehensive models
  • Conservativism as model risk mitigation?

Submission Requirements
Manuscripts should be prepared for publication in accordance with our submissions guidelines, which can be found at: http://www.risk.net/static/risk-journals-submission-guidelines

All submissions will be subject to a peer review process by at least two independent peer reviewers. Final decisions on paper acceptance will be given by the Editor-in-Chief, Stephen Satchell.

Length
The Journal has a strict length policy. Research papers should not exceed 8,000 words, including references. Submissions should be sent via the online submission site: https://editorialexpress.com/risk

Submission deadline
Paper should be submitted by: February 1st, 2017
Publication date: September 30th, 2017