Differential quantile-based sensitivity in discontinuous models

DOI10.1016/J.EJOR.2024.12.008MaRDI QIDQ6982071zbMATH OpenFDO

Authors Silvana M. Pesenti, Pietro Millossovich, A. Tsanakas

Publication date 19 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.12.008

zbMATH Keywords

sensitivity analysissimulationrisk measurescredit riskdifferential sensitivity measuresimportance measurement

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Credit risk (91G40)

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Cited in

(1)

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