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Model Uncertainty And Scenario Aggregation
- Publisher :
- Wiley-Blackwell
-
Abstract
- 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 definition of five 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.
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.od.......185..1de1e05e5d3cdee95615411b646f6874