It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...

Understanding and measuring model risk is important to financial practitioners. However, there lacks a non-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory generalizing the relative-entropic approach by Glasserman...