Deviation-Based Model Risk Measures
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-021-10093-x.pdf
Reference63 articles.
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3. Artzner, P., Delbaen, F., Eber, J.-M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228.
4. Bannör, K. F., & Scherer, M. (2013). Capturing parameter risk with convex risk measures. European Actuarial Journal, 3(1), 97–132.
5. Barrieu, P., & Scandolo, G. (2015). Assessing financial model risk. European Journal of Operational Research, 242(2), 546–556.
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