Robustness and sensitivity analysis of risk measurement procedures
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Publication:3577148
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- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Optimal risk transfer under quantile-based risk measurers
- On the measurement of economic tail risk
- TERES: tail event risk expectile shortfall
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- A semi-Markovian approach to drawdown-based measures
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- Risk parity for mixed tempered stable distributed sources of risk
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- The impact of correlation on (Range) Value-at-Risk
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- A note on the induction of comonotonic additive risk measures from acceptance sets
- On robustness in risk theory
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- Uncertainty Comparison Between Value-at-Risk and Expected Shortfall
- Solvency II, or how to sweep the downside risk under the carpet
- Simulation methods for robust risk assessment and the distorted mix approach
- Mean-VaR portfolio optimization: a nonparametric approach
- Statistical robustness of two-stage stochastic variational inequalities
- Inter-order relations between equivalence for \(L_p\)-quantiles of the Student's \(t\) distribution
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Qualitative robustness of utility-based risk measures
- Asymptotic stability of empirical processes and related functionals
- Worst-case range value-at-risk with partial information
- Range value-at-risk bounds for unimodal distributions under partial information
- Statistical robustness in utility preference robust optimization models
- Quantile-based risk sharing
- Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
- Mathematical programs with distributionally robust chance constraints: statistical robustness, discretization and reformulation
- Risk measures beyond frictionless markets
- Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
- Simulating risk measures via asymptotic expansions for relative errors
- Optimal risk allocation in reinsurance networks
- On quantile based co-risk measures and their estimation
- Minimizing value-at-risk in single-machine scheduling
- Distortion risk measure under parametric ambiguity
- Model uncertainty and scenario aggregation
- Robust spectral risk optimization when information on risk spectrum is incomplete
- MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK
- Robustification and performance evaluation of empirical risk measures and other vector-valued estimators
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Robust estimation of superhedging prices
- Range-based risk measures and their applications
- An elementary proof of the dual representation of expected shortfall
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Replicating portfolio approach to capital calculation
- On elicitable risk measures
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Optimal payoff under the generalized dual theory of choice
- An econometric analysis of drawdown based measures
- Portfolio diversification in the sovereign credit swap markets
- Risk aversion in regulatory capital principles
- Calibrating Distribution Models from PELVE
- Entropic value-at-risk: a new coherent risk measure
- Robust distortion risk measures
- Risk measures with the CxLS property
- On the properties of the lambda value at risk: robustness, elicitability and consistency
- On the role of norm constraints in portfolio selection
- Risk management under weighted limited expected loss
- Domains of weak continuity of statistical functionals with a view toward robust statistics
- Asymptotic equivalence of risk measures under dependence uncertainty
- Comparative and qualitative robustness for law-invariant risk measures
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Analyzing model robustness via a distortion of the stochastic root: a Dirichlet prior approach
- A data-driven framework for consistent financial valuation and risk measurement
- Pareto-optimal reinsurance policies with maximal synergy
- Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models
- Risk bounds for factor models
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- An Information Geometry Approach to Robustness Analysis for the Uncertainty Quantification of Computer Codes
- Large deviations for risk measures in finite mixture models
- Robust inference of risks of large portfolios
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk
- Robustness regions for measures of risk aggregation
- Assessing the difference between integrated quantiles and integrated cumulative distribution functions
- Generalized PELVE and applications to risk measures
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- Estimating and backtesting risk under heavy tails
- Risk aggregation under dependence uncertainty and an order constraint
- Data-driven distributionally robust multiproduct pricing problems under pure characteristics demand models
- How to Increase Robustness of Capable-to-Promise
- Pro‐cyclicality beyond business cycle
- Collective risk models with dependence uncertainty
- Risk parity with expectiles
- Risk concentration and the mean-expected shortfall criterion
- Coherence and elicitability
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