Stress testing for risk-averse stochastic programs

MaRDI QIDQ2945115zbMATH OpenFDO

Authors Jitka Dupačová, Václav Kozmík

Publication date 9 September 2015

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zbMATH Keywords

robustnessstress testingstochastic programmingCVaRspectral risk measurescontamination

Mathematics Subject Classification ID

Stochastic programming (90C15)

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(9)

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• Stress testing for VaR and CVaR
• A financially justifiable and practically implementable approach to coherent stress testing
• A central limit theorem and hypotheses testing for risk-averse stochastic programs
• Risk objectives in two-stage stochastic programming models
• Systematic scenario selection: stress testing and the nature of uncertainty
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach

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