#3050. Scenario-based risk evaluation

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3510 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Statistics and Probability;
Finance;
Statistics, Probability and Uncertainty;
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Abstract:
The article analyzes the theoretical properties of risk assessment based on scenarios. In addition, the axiomatic characteristics of scenario-based risk measures that are comonotonically additive or coherent are established, and we obtain a new ES-based representation result.
Keywords:
Basel Accords; Dependence adjustment; Risk measures; Scenarios; Stress adjustment

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