Model uncertainty and scenario aggregation
From MaRDI portal
Publication:6497105
DOI10.1111/MAFI.12097MaRDI QIDQ6497105
Mathieu Cambou, Damir Filipović
Publication date: 6 May 2024
Published in: Mathematical Finance (Search for Journal in Brave)
scenario aggregationvalue-at-riskmodel uncertaintyexpected shortfallSwiss Solvency Teststatistical divergence
Related Items (2)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate stress scenarios and solvency
- Comparative and qualitative robustness for law-invariant risk measures
- A Coherent Aggregation Framework for Stress Testing and Scenario Analysis
- Stochastic Finance
- Operational Risk Management
- AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
- On Divergences and Informations in Statistics and Information Theory
- Robustness and sensitivity analysis of risk measurement procedures
- Probability with Martingales
- Numerical Optimization
- Statistical Models
- On the Optimum Rate of Transmitting Information
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- A General Qualitative Definition of Robustness
- Robust Statistics
This page was built for publication: Model uncertainty and scenario aggregation