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 …

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 …