28 août 2023Uncertainty Propagation and Dynamic Robust Risk MeasuresThe framework presents a method to quantify #uncertainty propagation in #dynamic #scenarios, focusing on discrete #stochastic processes...
17 mai 2023Multivariate risk measures for elliptical and log-elliptical distributions"This paper introduces the multivariate range Value-at-Risk (MRVaR) and multivariate range covariance (MRCov) as #risk#measures for...
24 mars 2023Uncertainty in Systemic Risks Rankings: Bayesian and Frequentist Analysis"In this paper we propose efficient #bayesian Hamiltonian #montecarlo method for estimation of #systemicrisk#measures , LRMES, SRISK and...