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q-fin.RM2022
Stressing Dynamic Loss Models
Emma Kroell, Silvana M. Pesenti, Sebastian Jaimungal
Stress testing, and in particular, reverse stress testing, is a prominent exercise in risk management practice. Reverse stress testing, in contrast to (forward) stress testing, aim…
q-fin.RM2022
Robust Distortion Risk Measures
Carole Bernard, Silvana M. Pesenti, Steven Vanduffel
The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper,…