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The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk management. The proposed approach accounts for all...
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Small area estimation methods have become a widely used tool to provide accurate estimates for regional indicators such as poverty measures. Recent research has provided evidence that spatial modelling still can improve the precision of regional and local estimates. In this paper, we provide an...
Persistent link: https://www.econbiz.de/10015052182
Understanding and measuring model risk is important to financial practitioners. However, there lacks a non-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory generalizing the relative-entropic approach by Glasserman...
Persistent link: https://www.econbiz.de/10012827512