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A new approach to assessing model risk in high dimensions

Citations

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Cited by:

  1. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  2. Corrado De Vecchi & Max Nendel & Jan Streicher, 2024. "Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty," Papers 2406.19242, arXiv.org.
  3. Rüschendorf, L., 2019. "Analysis of risk bounds in partially specified additive factor models," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 115-121.
  4. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, vol. 3(4), pages 1-25, December.
  5. Yoshida, Valter T. & Schiozer, Rafael & de Genaro, Alan & dos Santos, Toni R.E., 2025. "A novel credit model risk measure: Do more data lead to lower model risk?," The Quarterly Review of Economics and Finance, Elsevier, vol. 100(C).
  6. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2018. "Rearrangement algorithm and maximum entropy," Annals of Operations Research, Springer, vol. 261(1), pages 107-134, February.
  7. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
  8. Kley, Oliver & Klüppelberg, Claudia & Paterlini, Sandra, 2020. "Modelling extremal dependence for operational risk by a bipartite graph," Journal of Banking & Finance, Elsevier, vol. 117(C).
  9. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
  10. Thibaut Lux & Antonis Papapantoleon, 2016. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Papers 1610.09734, arXiv.org, revised Nov 2018.
  11. Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
  12. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel, 2017. "Value-at-Risk Bounds With Variance Constraints," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 923-959, September.
  13. Hofert Marius & Memartoluie Amir & Saunders David & Wirjanto Tony, 2017. "Improved algorithms for computing worst Value-at-Risk," Statistics & Risk Modeling, De Gruyter, vol. 34(1-2), pages 13-31, June.
  14. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
  15. Valter T. Yoshida Jr & Alan de Genaro & Rafael Schiozer & Toni R. E. dos Santos, 2023. "A Novel Credit Model Risk Measure: does more data lead to lower model risk in credit scoring models?," Working Papers Series 582, Central Bank of Brazil, Research Department.
  16. Rüschendorf L., 2018. "Risk bounds with additional information on functionals of the risk vector," Dependence Modeling, De Gruyter, vol. 6(1), pages 102-113, June.
  17. 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.
  18. Lux, Thibaut & Papapantoleon, Antonis, 2019. "Model-free bounds on Value-at-Risk using extreme value information and statistical distances," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 73-83.
  19. Cornilly, Dries & Vanduffel, Steven, 2019. "Equivalent distortion risk measures on moment spaces," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 187-192.
  20. Cuberos A. & Masiello E. & Maume-Deschamps V., 2015. "High level quantile approximations of sums of risks," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, October.
  21. 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.
  22. Marcelo Brutti Righi, 2018. "A theory for combinations of risk measures," Papers 1807.01977, arXiv.org, revised May 2023.
  23. Sojung Kim & Stefan Weber, 2020. "Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach," Papers 2009.03653, arXiv.org, revised Jan 2022.
  24. Luo, Ming & Wu, Shaomin, 2018. "A value-at-risk approach to optimisation of warranty policy," European Journal of Operational Research, Elsevier, vol. 267(2), pages 513-522.
  25. Lauzier, Jean-Gabriel & Lin, Liyuan & Wang, Ruodu, 2023. "Pairwise counter-monotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 279-287.
  26. Carole Bernard & Don McLeish, 2016. "Algorithms for Finding Copulas Minimizing Convex Functions of Sums," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 33(05), pages 1-26, October.
  27. Bernard Carole & Vanduffel Steven, 2015. "Quantile of a Mixture with Application to Model Risk Assessment," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-10, October.
  28. Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.
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