Arias-Serna, M. Andrea; Loubes, Jean Michel; … - In: Risks : open access journal 10 (2022) 9, pp. 1-15
When the uni-variate risk measure analysis is generalized into the multi-variate setting, many complex theoretical and applied problems arise, and therefore the mathematical models used for risk quantification usually present model risk. As a result, regulators have started to require that the...
