1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.OC2015
Almost Worst Case Distributions in Multiple Priors Models
Imre Csiszar, Thomas Breuer
A worst case distribution is a minimiser of the expectation of some random payoff within a family of plausible risk factor distributions. The plausibility of a risk factor distribu…
q-fin.RM2013★ 1 cited
Measuring Model Risk
Thomas Breuer, Imre Csiszar
We propose to interpret distribution model risk as sensitivity of expected loss to changes in the risk factor distribution, and to measure the distribution model risk of a portfoli…