Systematic stress tests with entropic plausibility constraints

Author:

Breuer Thomas,Csiszár Imre

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference43 articles.

1. A general class of coefficients of divergence of one distribution from another;Ali;Journal of the Royal Statistical Society Series B,1966

2. Calibrating volatility surfaces via relative entropy minimization;Avellaneda;Applied Mathematical Finance,1997

3. Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model;Avellaneda;Applied Mathematical Finance,1996

4. Doubts or variability?;Barillas;Journal of Economic Theory,2009

5. Information and Exponential Families in Statistical Theory (Wiley Series in Probability and Mathematical Statistics);Barndorff-Nielsen,1978

Cited by 77 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. A theory of multivariate stress testing;European Journal of Operational Research;2024-11

2. The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach;Economic Modelling;2024-07

3. The Possibilistic Mean-Variance Model with Uncertain Possibility Distributions;Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi;2024-06-11

4. On regularization schemes for data-driven optimization based on Cressie–Read divergence and CVaR;Optimization;2024-04-29

5. Stressing dynamic loss models;Insurance: Mathematics and Economics;2024-01

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3