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Robust risk measurement and model risk

Citations

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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. Yu Feng, 2019. "A Thermodynamic Picture of Financial Market and Model Risk," Papers 1904.00151, arXiv.org.
  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. 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.
  5. Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
  6. Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
  7. 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.
  8. Cohen, Asaf & Saha, Subhamay, 2021. "Asymptotic optimality of the generalized cμ rule under model uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 136(C), pages 206-236.
  9. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  10. Aleksandrina Goeva & Henry Lam & Huajie Qian & Bo Zhang, 2019. "Optimization-Based Calibration of Simulation Input Models," Operations Research, INFORMS, vol. 67(5), pages 1362-1382, September.
  11. Soumyadip Ghosh & Henry Lam, 2019. "Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees," Operations Research, INFORMS, vol. 67(1), pages 232-249, January.
  12. 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.
  13. 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.
  14. Henry Lam, 2018. "Sensitivity to Serial Dependency of Input Processes: A Robust Approach," Management Science, INFORMS, vol. 64(3), pages 1311-1327, March.
  15. Nikolay Andreev, 2019. "Robust Portfolio Optimization in an Illiquid Market in Discrete-Time," Mathematics, MDPI, vol. 7(12), pages 1-16, November.
  16. Meucci, A. & Nicolosi, M., 2016. "Dynamic portfolio management with views at multiple horizons," Applied Mathematics and Computation, Elsevier, vol. 274(C), pages 495-518.
  17. Volker Stein & Arnd Wiedemann, 2016. "Risk governance: conceptualization, tasks, and research agenda," Journal of Business Economics, Springer, vol. 86(8), pages 813-836, November.
  18. 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.
  19. 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.
  20. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
  21. Jose Blanchet & Karthyek Murthy, 2019. "Quantifying Distributional Model Risk via Optimal Transport," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 565-600, May.
  22. Stepankova, Barbora & Teply, Petr, 2023. "Consistency of banks' internal probability of default estimates: Empirical evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
  23. Zhaolin Hu & L. Jeff Hong, 2022. "Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty," INFORMS Journal on Computing, INFORMS, vol. 34(4), pages 2350-2367, July.
  24. Mingbin Ben Feng & Eunhye Song, 2020. "Optimal Nested Simulation Experiment Design via Likelihood Ratio Method," Papers 2008.13087, arXiv.org, revised Jul 2021.
  25. 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.
  26. Schneider, Judith C. & Schweizer, Nikolaus, 2015. "Robust measurement of (heavy-tailed) risks: Theory and implementation," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 183-203.
  27. Dang, Ou & Feng, Mingbin & Hardy, Mary R., 2023. "Two-stage nested simulation of tail risk measurement: A likelihood ratio approach," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 1-24.
  28. Roberto Baviera & Giulia Bianchi, 2019. "Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach," Papers 1902.06623, arXiv.org, revised Dec 2019.
  29. Jingnan Chen & Mark D. Flood & Richard B. Sowers, 2015. "Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios," Working Papers 15-19, Office of Financial Research, US Department of the Treasury.
  30. Richard Anthony Kent & Di Bu, 2020. "The importance of cash flow disclosure and cost of capital," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(S1), pages 877-908, April.
  31. Spiridon Penev & Pavel Shevchenko & Wei Wu, 2019. "Myopic robust index tracking with Bregman divergence," Papers 1908.07659, arXiv.org, revised Jul 2021.
  32. 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.
  33. Amarante, Massimiliano & Ghossoub, Mario, 2021. "Aggregation of opinions and risk measures," Journal of Economic Theory, Elsevier, vol. 196(C).
  34. 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.
  35. Paul Glasserman & Wanmo Kang, 2014. "OR Forum—Design of Risk Weights," Operations Research, INFORMS, vol. 62(6), pages 1204-1220, December.
  36. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
  37. Steven Kou & Xianhua Peng, 2016. "On the Measurement of Economic Tail Risk," Operations Research, INFORMS, vol. 64(5), pages 1056-1072, October.
  38. Colin Turfus, 2018. "Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing," IJFS, MDPI, vol. 6(2), pages 1-20, April.
  39. 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.
  40. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  41. Thomas Kruse & Judith C. Schneider & Nikolaus Schweizer, 2015. "What's in a ball? Constructing and characterizing uncertainty sets," Papers 1510.01675, arXiv.org.
  42. Evgeny Danilov, 2023. "Impact of Market Changes and Regulatory Measures on Accuracy of Bond Valuation in Portfolios of Russian Credit Institutions," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 108-125, December.
  43. 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.
  44. Vytaras Brazauskas & Sahadeb Upretee, 2019. "Model Efficiency and Uncertainty in Quantile Estimation of Loss Severity Distributions," Risks, MDPI, vol. 7(2), pages 1-16, May.
  45. Roberto Baviera & Giulia Bianchi, 2021. "Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach," Journal of Global Optimization, Springer, vol. 81(2), pages 469-491, October.
  46. Henry Lam, 2016. "Robust Sensitivity Analysis for Stochastic Systems," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1248-1275, November.
  47. Volk-Makarewicz, Warren & Borovkova, Svetlana & Heidergott, Bernd, 2022. "Assessing the impact of jumps in an option pricing model: A gradient estimation approach," European Journal of Operational Research, Elsevier, vol. 298(2), pages 740-751.
  48. Yu Feng & Erik Schlogl, 2018. "Model Risk Measurement under Wasserstein Distance," Papers 1809.03641, arXiv.org, revised Mar 2019.
  49. Detering, Nils & Packham, Natalie, 2018. "Model risk of contingent claims," IRTG 1792 Discussion Papers 2018-036, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  50. Yu Feng, 2019. "Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions," Papers 1903.00590, arXiv.org.
  51. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
  52. Sojung Kim & Stefan Weber, 2020. "Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach," Papers 2009.03653, arXiv.org, revised Jan 2022.
  53. Paul Glasserman & Wanmo Kang, 2014. "Design of Risk Weights," Working Papers 14-06, Office of Financial Research, US Department of the Treasury.
  54. Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
  55. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
  56. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.
  57. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.
  58. 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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