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Model Uncertainty and Scenario Aggregation
Year Of Publication: 2014
Month Of Publication: May
Resource Link: Click here to open
Pages: 35
Download Count: 0
View Count: 1268
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-2-2014
Publisher: Administrator
Summary
This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the defi nition of fi ve fundamental criteria that serve as a basis for our method. Standard risk measures, such as value-at-risk and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples illustrate the tractability of our method.
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Author(s)
Filipovic, Damir Sign in to follow this author
Cambou, Mathieu Sign in to follow this author
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