In a quantitative model with uncertain inputs, the uncertainty of the output can be summarized by a risk measure. We … propose a sensitivity analysis method based on derivatives of the output risk measure, in the direction of model inputs. This … distortion risk measures, defined as weighted averages of output percentiles, and prove a representation of the sensitivity …

framework is model-free and allows for stresses on the output such as (a) the mean and variance, (b) any distortion risk measure … including the Value-at-Risk and Expected-Shortfall, and (c) expected utility type constraints, thus making the reverse … sensitivity analysis framework suitable for risk models. …

finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework …, review the basics and discuss new approaches such as shortfall measures and credit risk …