A New Approach to Assessing Model Risk in High Dimensions

By Carole Bernard, Steven Vanduffel. 2015

75 citations recorded by the source corpus.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c4ea572bad32e6a7f8ce3e26e4ba000b9ed4c1eb

Citations in the corpus

• Value-at-Risk Bounds with Variance Constraints (2015, unknown): “Recent attempts in that direction are Bernard and Vanduffel (2015) who add information on the joint distribution in some states and Bernard, Denuit and Vanduffel (2015) who include information on higher moments as source of dependence information.”