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Model Uncertainty and Robust Finance

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GUEST EDITORS

Marco Frittelli, University of Milano
Emanuela Rosazza-Gianin
, University of Milano-Bicocca

FLYER

CONTENTS

Risk bounds with additional information on functionals of the risk vector
Rüschendorf, L.

The strong Fatou property of risk measures
Chen, Shengzhong / Gao, Niushan / Xanthos, Foivos

Law invariant risk measures and information divergences
Lacker, Daniel

Ordering risk bounds in factor models
Ansari, Jonathan / Rüschendorf, Ludger

The Default Risk Charge approach to regulatory risk measurement processes
Bonollo, Michele / Persio, Luca Di / Prezioso, Luca