2 citations · 3 across the 4 of their papers we have counts for
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q-fin.MF2019
Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions
Yu Feng
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…
q-fin.MF2018
Model Risk Measurement under Wasserstein Distance
Yu Feng, Erik Schlögl
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 f…