4 citations · 9 across the 6 of their papers we have counts for
6 papers
Distributionally Robust Newsvendor with Moment Constraints
Derek Singh, Shuzhong Zhang
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infi…
Tight Bounds for a Class of Data-Driven Distributionally Robust Risk Measures
Derek Singh, Shuzhong Zhang
This paper expands the notion of robust moment problems to incorporate distributional ambiguity using Wasserstein distance as the ambiguity measure. The classical Chebyshev-Cantell…
Distributionally Robust Profit Opportunities
Derek Singh, Shuzhong Zhang
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Fin…
Robust Arbitrage Conditions for Financial Markets
Derek Singh, Shuzhong Zhang
This paper investigates arbitrage properties of financial markets under distributional uncertainty using Wasserstein distance as the ambiguity measure. The weak and strong forms of…
Distributionally Robust XVA via Wasserstein Distance Part 2: Wrong Way Funding Risk
Derek Singh, Shuzhong Zhang
This paper investigates calculations of robust funding valuation adjustment (FVA) for over the counter (OTC) derivatives under distributional uncertainty using Wasserstein distance…
Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk
Derek Singh, Shuzhong Zhang
This paper investigates calculations of robust XVA, in particular, credit valuation adjustment (CVA) and funding valuation adjustment (FVA) for over-the-counter derivatives under d…