Showing 1 - 10 of 41
Persistent link: https://www.econbiz.de/10011853830
This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the definition of five fundamental criteria that...
Persistent link: https://www.econbiz.de/10010412678
Persistent link: https://www.econbiz.de/10015084570
Persistent link: https://www.econbiz.de/10015108416
Persistent link: https://www.econbiz.de/10015110551
Persistent link: https://www.econbiz.de/10014443184
Persistent link: https://www.econbiz.de/10014432743
Persistent link: https://www.econbiz.de/10015108403
Persistent link: https://www.econbiz.de/10011580778
Persistent link: https://www.econbiz.de/10012267120