Analyzing model robustness via a distortion of the stochastic root: A Dirichlet prior approach

Keyphrases

• Addressing Model 33%
• Analyzing Model 100%
• Consistency Condition 66%
• Dependence Structure 33%
• Dirichlet Prior 100%
• Distortion Function 33%
• Economic Reasoning 33%
• Exogenous Risk 33%
• Log-returns 33%
• Markov 33%
• Model Robustness 100%
• Model Uncertainty 33%
• New philosophy 33%
• One-parameter 33%
• Probability Laws 66%
• Quantitative Risk Management 33%
• Random Variables 33%
• Random Vector 33%
• Stochastic Model 33%
• Stochastic Representation 33%

Economics, Econometrics and Finance

• Risk Factor 100%
• Risk Management 100%