The Wasserstein Metric and Robustness in Risk Management

The Wasserstein Metric and Robustness in Risk Management

In the aftermath of the financial crisis, it was realized that the mathematical models used for the valuation of financial instruments and the quantification of risk inherent in portfolios consisting of these financial instruments exhibit a substantial model risk. Consequently, regulators and other...

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Bibliographic Details
Main Authors: Rüdiger Kiesel, Robin Rühlicke, Gerhard Stahl, Jinsong Zheng
Format: Article
Language:English
Published: MDPI AG 2016-08-01
Series:Risks
Subjects:
risk management
Wasserstein metric
robustness
risk measures
Online Access:http://www.mdpi.com/2227-9091/4/3/32

Internet

http://www.mdpi.com/2227-9091/4/3/32

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