Robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial … importance when making well-informed risk management decisions. In this paper, we quantify for any given distortion risk measure … application to model risk assessment …

Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based …

We describe characteristics of various risk measures (Value-at-Risk, Expected Shortfall, etc.) that are used to analyze … and quantify the tail risk exposure, and discuss their relative strengths and weaknesses. Emphasis is placed on presenting … and comparing methodologies to compute and backtest estimates for these risk measures, from a practical perspective. We …

-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory …Understanding and measuring model risk is important to financial practitioners. However, there lacks a non … treatment for measuring both the worst-case risk and the f-divergence budget that originate from the model uncertainty of an …