important. We argue here that Hampel’s classical notion of qualitative robustness is not suitable for risk measurement, and we …When estimating the risk of a P&L from historical data or Monte Carlo simulation, the robustness of the estimate is … propose and analyze a refined notion of robustness that applies to tail-dependent law-invariant convex risk measures on Orlicz …

We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility …

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. …