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ensemble that the element of risk does appear. The latter practically stands for the firm incapacity of adapting itself in due … a vast presentation of risk, with clear-cut distinctions along with other economic elements connected to them …
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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 …
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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. …
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