Provides an assessment of various models, examining the weaknesses and provides methods to mitigate potential model failures and deficiencies.
Covers the testing of models, what should be tested and what the parameters should be.
Core contribution selected and introduced by Professor Ranja Gibson, Universite de Lausanne

Introduction
Rajna Gibson

Overview: Model Risk
Michel Crouhy, Dan Galai and Robert Mark

DERIVATIVES PRICING AND HEDGING UNDER MODEL RISK

Market Risk and Model Risk for a Financial Institution Writing Options
Stephen Figlewski and Clifton T. Green

Contingent Claim Models with Deterministic Volatility: Model Error vs. Poor Estimation
Eric Jacquier and Robert Jarrow

Empirical Performance of Alternative Option Pricing Models
Gurdip Bakshi, Charles Cao and Zhiwu Chen

New Insights into Smile, Mis-pricing and Value-at-Risk: The Hyperbolic Model
Ernst Eberlein, Ulrich Keller and Karsten Prause

Market Illiquidity as a Source of Model Risk in Dynamic Hedging
Rüdiger Frey

MODEL RISK AND INTEREST RATE RISK

The Stochastic Volatility of Short-Term Interest Rates: Some International Evidence
Clifford A. Ball and Walter N. Torous

Is the Short Rate Drift Actually Nonlinear?
David A. Chapman and Neil D. Pearson

Model Risk with Jump-Diffusion Processes
Aydin Akgun

VAR METHODOLOGIES UNDER MODEL RISK

Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time
Matthew Pritsker

A Comparison of Analytical VAR Methodologies for Portfolios that Include Options
Stefan Pichler and Karl Selitsch

A Comparative Anatomy of Credit Risk Models
Michael B. Gordy

Regulatory Evaluation of Value-at-Risk Models
Jose A. Lopez

Risk Capital and VAR
Paul H. Kupiec

Rajna Gibson