Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios (Q4555154): Difference between revisions

Latest revision as of 09:57, 17 July 2024

scientific article; zbMATH DE number 6981270

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English	Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios	scientific article; zbMATH DE number 6981270

Statements

instance of

scholarly article

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title

Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios (English)

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19 November 2018

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zbMATH Keywords

uncertainty

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yield curve

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optimal uncertainty quantification

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model risk

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stress testing

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describes a project that uses

QRM

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TOMLAB

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2017.1296176

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cites work

Assessing financial model risk

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The Impact of Uncertainty Shocks

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Advanced Lectures on Machine Learning

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Robustness and sensitivity analysis of risk measurement procedures

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An investigation of model risk in a market with jumps and stochastic volatility

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Q4391441

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Forecasting the term structure of government bond yields

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Q4903819

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Q3563403

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Concentration of Measure for the Analysis of Randomized Algorithms

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A YIELD‐FACTOR MODEL OF INTEREST RATES

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Systematic scenario selection: stress testing and the nature of uncertainty

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Robust risk measurement and model risk

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Stress scenario selection by empirical likelihood

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Identification and estimation of Gaussian affine term structure models

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Probability Inequalities for Sums of Bounded Random Variables

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Q2756809

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Rigorous verification, validation, uncertainty quantification and certification through concentration-of-measure inequalities

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Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach

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Q3496342

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Q4226453

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Q5253267

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Optimal Uncertainty Quantification

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Q3281461

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Identifiers

zbMATH Open document ID

1402.91670

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DOI

10.1080/14697688.2017.1296176

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4555154

@@ Property / cites work @@
+Assessing financial model risk
@@ Property / cites work: Assessing financial model risk / rank @@
+Normal rank
@@ Property / cites work @@
+The Impact of Uncertainty Shocks
@@ Property / cites work: The Impact of Uncertainty Shocks / rank @@
+Normal rank
@@ Property / cites work @@
+Advanced Lectures on Machine Learning
@@ Property / cites work: Advanced Lectures on Machine Learning / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness and sensitivity analysis of risk measurement procedures
+Normal rank
@@ Property / cites work @@
+An investigation of model risk in a market with jumps and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting the term structure of government bond yields
+Normal rank
@@ Property / cites work @@
+Q4903819
@@ Property / cites work: Q4903819 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3563403
@@ Property / cites work: Q3563403 / rank @@
+Normal rank
@@ Property / cites work @@
+Concentration of Measure for the Analysis of Randomized Algorithms
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Systematic scenario selection: stress testing and the nature of uncertainty
+Normal rank
@@ Property / cites work @@
+Robust risk measurement and model risk
@@ Property / cites work: Robust risk measurement and model risk / rank @@
+Normal rank
@@ Property / cites work @@
+Stress scenario selection by empirical likelihood
@@ Property / cites work: Stress scenario selection by empirical likelihood / rank @@
+Normal rank
@@ Property / cites work @@
+Identification and estimation of Gaussian affine term structure models
+Normal rank
@@ Property / cites work @@
+Probability Inequalities for Sums of Bounded Random Variables
+Normal rank
@@ Property / cites work @@
+Q2756809
@@ Property / cites work: Q2756809 / rank @@
+Normal rank
@@ Property / cites work @@
+Rigorous verification, validation, uncertainty quantification and certification through concentration-of-measure inequalities
+Normal rank
@@ Property / cites work @@
+Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
+Normal rank
@@ Property / cites work @@
+Q3496342
@@ Property / cites work: Q3496342 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226453
@@ Property / cites work: Q4226453 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5253267
@@ Property / cites work: Q5253267 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Uncertainty Quantification
@@ Property / cites work: Optimal Uncertainty Quantification / rank @@
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
+Normal rank