42 citations · 54 across the 26 of their papers we have counts for
4 papers · 1 filter
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…
Minimal Kullback-Leibler Divergence for Constrained Lévy-Itô Processes
Sebastian Jaimungal, Silvana M. Pesenti, Leandro Sánchez-Betancourt
Given an n-dimensional stochastic process X driven by P-Brownian motions and Poisson random measures, we seek the probability measure Q, with minimal relative entropy to P, such th…
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,…
Sensitivity Measures Based on Scoring Functions
Tobias Fissler, Silvana M. Pesenti
We propose a holistic framework for constructing sensitivity measures for any elicitable functional of a response variable. The sensitivity measures, termed score-based sensiti…