Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

model risk sign in to follow this
statistical divergence sign in to follow this
stress testing sign in to follow this
scenarios sign in to follow this

VaR Methods sign in to follow this
--Model Risk sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
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: 1514
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 6-2-2014
Publisher: Administrator
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.
This document may be downloaded without charge from by clicking the "Buy from Publisher" button (you must be signed in to Gloria-Mundi first).
Filipovic, Damir Sign in to follow this author
Cambou, Mathieu Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile