Measuring distribution model risk
From MaRDI portal
Recommendations
- Risk measuring under model uncertainty
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
- Approximating the distribution function of risk
- Robust risk measurement and model risk
- Distribution-free risk analysis
- Modeling, measuring and managing risk
- On estimation of loss distributions and risk measures
- Ordering of distributions and risk measurement
- Evaluating risky prospects: the distribution view
Cites work
- A note on the inevitability of maximum entropy
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Axiomatic derivation of the principle of maximum entropy and the principle of minimum cross-entropy
- Coherent measures of risk
- CONFRONTING MODEL MISSPECIFICATION IN FINANCE: TRACTABLE COLLECTIONS OF SCENARIO PROBABILITY MEASURES FOR ROBUST FINANCIAL OPTIMIZATION PROBLEMS
- Entropic value-at-risk: a new coherent risk measure
- Game theory, maximum entropy, minimum discrepancy and robust Bayesian decision theory
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 3296905 (Why is no real title available?)
- Maxmin expected utility with non-unique prior
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- On Information and Sufficiency
- Stochastic finance. An introduction in discrete time
- Superhedging and dynamic risk measures under volatility uncertainty
- Why least squares and maximum entropy? An axiomatic approach to inference for linear inverse problems
Cited in
(56)- The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
- Reverse sensitivity testing: what does it take to break the model?
- Robust measurement of (heavy-tailed) risks: theory and implementation
- Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- Quantification of model risk: data uncertainty
- Numerical computation of convex risk measures
- Robust bounds in multivariate extremes
- Adaptive decision making via entropy minimization
- Distributionally robust shortfall risk optimization model and its approximation
- Approximate models and robust decisions
- Risk measurement with maximum loss
- Portfolio optimization with entropic value-at-risk
- Simulation methods for robust risk assessment and the distorted mix approach
- A model-free identification of relative risk
- On distributionally robust extreme value analysis
- Minimax optimal sequential hypothesis tests for Markov processes
- Sensitivity analysis with ^2-divergences
- Affine processes under parameter uncertainty
- Robust quantile estimation under bivariate extreme value models
- Choosing a random distribution with prescribed risks
- Optimal insurance under maxmin expected utility
- An information geometry problem in mathematical finance
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Robust risk measurement and model risk
- Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
- scientific article; zbMATH DE number 1264459 (Why is no real title available?)
- Model risk of contingent claims
- USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK
- scientific article; zbMATH DE number 2099866 (Why is no real title available?)
- On some measures and distances for positive random variables
- Uncertainty quantification for Markov processes via variational principles and functional inequalities
- Divergence measure between the probability distributions based on moments
- Quantification of model uncertainty on path-space via goal-oriented relative entropy
- Formulation and properties of a divergence used to compare probability measures without absolute continuity
- (f,)-divergences: interpolating between f-divergences and integral probability metrics
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
- Technical note: The joint impact of F-divergences and reference models on the contents of uncertainty sets
- Quantifying distributional model risk via optimal transport
- Characterizing variation of nonparametric random probability measures using the Kullback–Leibler divergence
- A maximum entropy model for risk measurement DaR
- Robust Actuarial Risk Analysis
- The measurement of market risk. Modelling of risk factors, asset pricing, and approximation of portfolio distributions
- CVaR-based optimization of environmental flow via the Markov lift of a mixed moving average process
- A multistage distributionally robust optimization approach to water allocation under climate uncertainty
- Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions
- Diversification quotients based on VaR and ES
- Mini-Batch Risk Forms
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes
- Model uncertainty and scenario aggregation
- Risk quantization by magnitude and propensity
- Distributional robustness, stochastic divergences, and the quadrangle of risk
- Distributionally robust tail bounds based on Wasserstein distance and f-divergence
- A generalized tail mean-variance model for optimal capital allocation
- A risk measurement approach from risk-averse stochastic optimization of score functions
- Measuring exposure to dependence risk with random Bernstein copula scenarios
This page was built for publication: Measuring distribution model risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2800000)
