Imre Csiszar

Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics

Realtanoda u 13-15

Budapest

Hungary

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Scholarly Papers (2)

1.

Stress Tests: From Arts to Science

Number of pages: 29 Posted: 10 Jan 2010 Last Revised: 28 Sep 2010
Thomas Breuer and Imre Csiszar
University of Applied Sciences Vorarlberg and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
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Abstract:

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scenario analysis, worst case, risk measures, multiple priors, model risk, ambiguity aversion, relative entropy, maximum entropy principle, Levenberg-Marquardt algorithm

2.

Measuring Distribution Model Risk

Mathematical Finance, Vol. 26, Issue 2, pp. 395-411, 2016
Number of pages: 17 Posted: 10 Mar 2016
Thomas Breuer and Imre Csiszar
University of Applied Sciences Vorarlberg and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
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Abstract:

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multiple priors, divergence preferences, relative entropy, f‐divergence, Bregman distance, maximum entropy principle, convex integral functional, generalized exponential family