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q-fin.RM2022
Multinomial Backtesting of Distortion Risk Measures
Sören Bettels, Sojung Kim, Stefan Weber
We extend the scope of risk measures for which backtesting models are available by proposing a multinomial backtesting method for general distortion risk measures. The method relie…
q-fin.RM2020
Simulation Methods for Robust Risk Assessment and the Distorted Mix Approach
Sojung Kim, Stefan Weber
Uncertainty requires suitable techniques for risk assessment. Combining stochastic approximation and stochastic average approximation, we propose an efficient algorithm to compute…