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Disentangling price, risk and model risk: V\&R measures (Q1744203)

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Disentangling price, risk and model risk: V\&R measures
scientific article

    Statements

    title
    Disentangling price, risk and model risk: V\&R measures (English)
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    author
    Marco Frittelli
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    Marco Maggis
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    publication date
    16 April 2018
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    zbMATH Keywords
    model risk
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    pricing uncertainty
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    test functions
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    value and risk measures
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    law invariant risk measures
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    quasi-convex duality
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    Identifiers

    zbMATH DE Number
    6860573
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    OpenAlex ID
    W2763102975
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    arXiv ID
    1703.01329
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