STRESS TESTING FOR RISK-AVERSE STOCHASTIC PROGRAMS

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F15%3A10313030" target="_blank" >RIV/00216208:11320/15:10313030 - isvavai.cz</a>

Result on the web

<a href="http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/143/187" target="_blank" >http://www.iam.fmph.uniba.sk/amuc/ojs/index.php/amuc/article/view/143/187</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

STRESS TESTING FOR RISK-AVERSE STOCHASTIC PROGRAMS

Original language description

Possible use of the contamination technique in stress testing of risk measures and risk-averse stochastic programs was initiated by Dupačová and Polívka and detailed for the Value at Risk (VaR) and the Conditional Value at Risk (CVaR). In this paper we discuss several extensions of the approach, namely to stress testing for multistage risk-averse stochastic programs with CVaR related objectives, and for spectral and polyhedral risk measures.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Mathematica Universitatis Comenianae

ISSN

0862-9544

e-ISSN

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Volume of the periodical

84

Issue of the periodical within the volume

2

Country of publishing house

SK - SLOVAKIA

Number of pages

13

Pages from-to

205-217

UT code for WoS article

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EID of the result in the Scopus database

2-s2.0-84940978852