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 …-at-risk and expected shortfall, are shown to be robust with respect to minimum divergence scenario aggregation. Various examples …

This paper presents how scenario analysis techniques can be used for building financial models that are able to capture … for building pricing models for equity and FX derivatives. In the course of model calibration, the scenario analysis …

Purpose: The cost and environmental impact of energy is driving better quantification of energy utilization in a … business context. Determining an entire business electrical energy usage, inclusive of core operations and support activities … every change implies significant rework of the business energy calculations. This study develops a holistic energy …