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Measuring Distribution Model Risk

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  • Thomas Breuer
  • Imre Csiszár

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  • Thomas Breuer & Imre Csiszár, 2016. "Measuring Distribution Model Risk," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 395-411, April.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:2:p:395-411
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-2
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    Cited by:

    1. Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
    2. Ahmadi-Javid, Amir & Fallah-Tafti, Malihe, 2019. "Portfolio optimization with entropic value-at-risk," European Journal of Operational Research, Elsevier, vol. 279(1), pages 225-241.
    3. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
    4. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
    5. Thomas Kruse & Judith C. Schneider & Nikolaus Schweizer, 2019. "Technical Note—The Joint Impact of F -Divergences and Reference Models on the Contents of Uncertainty Sets," Operations Research, INFORMS, vol. 67(2), pages 428-435, March.
    6. Spiridon Penev & Pavel V. Shevchenko & Wei Wu, 2021. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," Papers 2108.02633, arXiv.org.
    7. Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019.
    8. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2020. "Optimal Insurance under Maxmin Expected Utility," Papers 2010.07383, arXiv.org.
    9. Roberto Fontana & Patrizia Semeraro, 2023. "Measuring distribution risk in discrete models," Papers 2302.08838, arXiv.org.
    10. Gourieroux, Christian & Tiomo, Andre, 2019. "The Evaluation of Model Risk for Probability of Default and Expected Loss," MPRA Paper 95795, University Library of Munich, Germany.
    11. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
    12. Sebastian Jaimungal & Silvana M. Pesenti & Leandro S'anchez-Betancourt, 2022. "Minimal Kullback-Leibler Divergence for Constrained L\'evy-It\^o Processes," Papers 2206.14844, arXiv.org, revised Aug 2022.
    13. Breuer, Thomas & Summer, Martin, 2020. "Systematic stress tests on public data," Journal of Banking & Finance, Elsevier, vol. 118(C).
    14. Brandtner, Mario & Kürsten, Wolfgang & Rischau, Robert, 2018. "Entropic risk measures and their comparative statics in portfolio selection: Coherence vs. convexity," European Journal of Operational Research, Elsevier, vol. 264(2), pages 707-716.
    15. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
    16. Thomas Breuer & Martin Summer, 2018. "Systematic Systemic Stress Tests," Working Papers 225, Oesterreichische Nationalbank (Austrian Central Bank).
    17. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    18. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
    19. Nishiyama, Tomohiro, 2020. "Minimization Problems on Strictly Convex Divergences," OSF Preprints wzayx, Center for Open Science.
    20. Thomas Kruse & Judith C. Schneider & Nikolaus Schweizer, 2021. "A Toolkit for Robust Risk Assessment Using F -Divergences," Management Science, INFORMS, vol. 67(10), pages 6529-6552, October.
    21. Park, Jangho & Bayraksan, Güzin, 2023. "A multistage distributionally robust optimization approach to water allocation under climate uncertainty," European Journal of Operational Research, Elsevier, vol. 306(2), pages 849-871.
    22. Amir Ahmadi-Javid & Malihe Fallah-Tafti, 2017. "Portfolio Optimization with Entropic Value-at-Risk," Papers 1708.05713, arXiv.org.

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