Silvana M. Pesenti

University of Toronto

Assistant Professor

100 St. George Street

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 45,254

in Total Papers Downloads

1,456

SSRN CITATIONS

10

CROSSREF CITATIONS

1

Scholarly Papers (14)

1.

Portfolio Optimisation within a Wasserstein Ball

Number of pages: 37 Posted: 08 Feb 2021 Last Revised: 21 Jun 2022
Silvana M. Pesenti and Sebastian Jaimungal
University of Toronto and University of Toronto - Department of Statistics
Downloads 237 (178,474)
Citation 2

Abstract:

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Portfolio Allocation, Behavioural Finance, Wasserstein Distance, Tail Value-at-Risk, Benchmark

2.

Robust Distortion Risk Measures

Number of pages: 50 Posted: 23 Oct 2020 Last Revised: 19 May 2022
Carole Bernard, Silvana M. Pesenti and Steven Vanduffel
Grenoble Ecole de Management, University of Toronto and Vrije Universiteit Brussel (VUB)
Downloads 224 (188,220)
Citation 1

Abstract:

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Risk Bounds, Distortion Risk Measures, Wasserstein Distance, Distributional Robustness, Tail Value-at-Risk

3.

Scenario Weights for Importance Measurement (SWIM) – An R Package for Sensitivity Analysis

Number of pages: 25 Posted: 10 Feb 2020
University of Toronto, affiliation not provided to SSRN, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 175 (235,062)
Citation 1

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Sensitivity analysis, risk measures, stress testing, sensitivity measures, Kullback-Leibler divergence

4.

Risk Budgeting Portfolios from Simulations

Number of pages: 31 Posted: 17 Mar 2022 Last Revised: 08 Apr 2022
Universidade Federal do Rio de Janeiro (UFRJ), University of Toronto and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 148 (270,148)

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Portfolio Allocation, Risk Parity, Expected Shortfall, Stochastic Optimisation

5.

Cascade Sensitivity Measures

Number of pages: 42 Posted: 13 Nov 2018 Last Revised: 16 Nov 2020
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 146 (273,134)

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Sensitivity analysis, importance measures, model uncertainty, risk measures, dependence, Rosenblatt transform

6.

Robust Risk-Aware Reinforcement Learning

Number of pages: 13 Posted: 27 Aug 2021 Last Revised: 15 Dec 2021
University of Toronto - Department of Statistics, University of Toronto, University of Toronto and affiliation not provided to SSRN
Downloads 108 (340,802)

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Robust Optimisation, Reinforcement Learning, Risk Measures, Wasserstein Distance, Statistical Arbitrage, Portfolio Optimisation

7.

Optimizing Distortion Riskmetrics With Distributional Uncertainty

Number of pages: 46 Posted: 06 Jan 2021 Last Revised: 25 Feb 2022
Silvana M. Pesenti, Qiuqi Wang and Ruodu Wang
University of Toronto, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 100 (358,755)

Abstract:

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risk measures; deviation measures, distributionally robust optimization, convexification, conditional expectation

8.

Reverse Sensitivity Analysis for Risk Modelling

Number of pages: 23 Posted: 14 Jul 2021 Last Revised: 01 Jun 2022
Silvana M. Pesenti
University of Toronto
Downloads 93 (375,627)

Abstract:

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Distortion Risk Measures, Expected Utility, Wasserstein Distance, Robustness and Sensitivity Analysis, Model Uncertainty

9.

Risk Contributions of Lambda Quantiles

Number of pages: 35 Posted: 08 Jul 2021 Last Revised: 18 Jan 2022
Akif Ince, Ilaria Peri and Silvana M. Pesenti
Birkbeck, University of London, University of London - Economics, Mathematics and Statistics and University of Toronto
Downloads 62 (470,866)

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Lambda Quantiles, Capital Allocation, Risk Contribution, Lambda Value-at-Risk, Euler Allocation

10.

Robustness Regions for Measures of Risk Aggregation

Dependence Modelling (Forthcoming)
Number of pages: 21 Posted: 08 Oct 2016 Last Revised: 22 Nov 2016
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 53 (506,266)
Citation 3

Abstract:

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Convex risk measures, Aggregation, Value-at-Risk, Robustness, Continuity

11.

Reverse Sensitivity Testing: What Does It Take to Break the Model?

European Journal of Operational Research, Forthcoming
Number of pages: 28 Posted: 03 Nov 2018
Silvana M. Pesenti, Pietro Millossovich and Andreas Tsanakas
University of Toronto, The Business School (formerly Cass) and Bayes Business School (formerly Cass), City, University of London
Downloads 47 (532,593)
Citation 2

Abstract:

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Robustness and Sensitivity Analysis, Risk Management, Value-at-Risk, Expected Shortfall, Stress Testing

12.

Sensitivity Measures Based on Scoring Functions

Number of pages: 36 Posted: 28 Mar 2022
Tobias Fissler and Silvana M. Pesenti
Vienna University of Economics and Business and University of Toronto
Downloads 35 (593,489)

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Consistency; Elicitability; Expected Shortfall; Information value; Value-at-Risk

13.

Euler Allocations in the Presence of Non-Linear Reinsurance: Comment on Major (2018)

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 6 Posted: 10 Oct 2018
Silvana M. Pesenti, Andreas Tsanakas and Pietro Millossovich
University of Toronto, Bayes Business School (formerly Cass), City, University of London and The Business School (formerly Cass)
Downloads 22 (678,354)

Abstract:

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Distortion Risk Measures, Capital Allocation, Euler Allocation, Aumann-Shapley, Reinsurance, Aggregation

14.

Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes

Number of pages: 25
University of Toronto - Department of Statistics, University of Toronto and King's College London
Downloads 6

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Relative entropy, Kullback-Leibler, Levy-Ito processes, Reverse sensitivity, Risk Management, Model Uncertainty, Cryptocurrency