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...

We address the problem of risk sharing among agents using a two-parameter class of quantile-based risk measures, the so-called Range-Value-at-Risk (RVaR), as their preferences. The family of RVaR includes the Value-at-Risk (VaR) and the Expected Shortfall (ES), the two popular and competing...

The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on...

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...

We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds. Since the...

The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models. For Gaussian linear state space models, or for models with qualitative state variables, the recursive formulas of the filter require the updating of a finite number of...

We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale which is also the value process of a superhedging...