A toolkit for robust risk assessment using F-divergences
Thomas Kruse, Judith C. Schneider, Nikolaus Schweizer
| Year of publication: |
2021
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|---|---|
| Authors: | Kruse, Thomas ; Schneider, Judith Christiane ; Schweizer, Nicolaus |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 10, p. 6529-6552
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| Subject: | F-divergence | model risk | risk management | robustness | Risikomanagement | Risk management | Risiko | Risk | Robustes Verfahren | Robust statistics | Bankrisiko | Bank risk | Theorie | Theory | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3822 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012666706