Silvana M. Pesenti

University of Toronto

Assistant Professor

700 University Avenue 9F

Toronto, Ontario

Canada

SCHOLARLY PAPERS

20

DOWNLOADS
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SSRN RANKINGS

Top 25,636

in Total Papers Downloads

3,724

SSRN CITATIONS
Rank 24,336

SSRN RANKINGS

Top 24,336

in Total Papers Citations

41

CROSSREF CITATIONS

8

Scholarly Papers (20)

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 767 (61,116)
Citation 8

Abstract:

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

2.

Robust Distortion Risk Measures

Number of pages: 54 Posted: 23 Oct 2020 Last Revised: 13 Mar 2023
Carole Bernard, Silvana M. Pesenti and Steven Vanduffel
Grenoble Ecole de Management, University of Toronto and Vrije Universiteit Brussel (VUB)
Downloads 332 (167,673)
Citation 8

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 302 (185,300)
Citation 1

Abstract:

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

4.

Risk Budgeting Portfolios from Simulations

Number of pages: 41 Posted: 17 Mar 2022 Last Revised: 02 Feb 2023
Universidade Federal do Rio de Janeiro (UFRJ), University of Toronto and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 299 (187,284)

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Portfolio Allocation, Risk Parity, coherent risk measures, Stochastic Optimisation

5.

Risk Budgeting Allocation for Dynamic Risk Measures

Number of pages: 34 Posted: 23 May 2023 Last Revised: 24 Jun 2023
University of Toronto - Department of Statistics, University of Toronto, Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 241 (232,778)

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Dynamic Risk Measures, Portfolio Allocation, Risk Parity, Elicitability, Deep Learning

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 228 (245,538)
Citation 7

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

7.

Stressing Dynamic Loss Models

Number of pages: 36 Posted: 18 Nov 2022 Last Revised: 03 Oct 2023
Emma Kroell, Silvana M. Pesenti and Sebastian Jaimungal
University of Toronto, University of Toronto and University of Toronto - Department of Statistics
Downloads 213 (261,787)
Citation 1

Abstract:

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Reverse Stress Testing, Compound Poisson Processes, KL divergence, Value-at-Risk, Conditional Value-at-Risk

8.

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 191 (289,224)
Citation 6

Abstract:

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

9.

Minimal Kullback-Leibler Divergence for Constrained Levy-Ito Processes

Number of pages: 33 Posted: 18 Jul 2022 Last Revised: 03 Aug 2022
University of Toronto - Department of Statistics, University of Toronto and Mathematical Institute, University of Oxford
Downloads 184 (298,861)

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

10.

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 149 (358,098)
Citation 5

Abstract:

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

11.

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 141 (374,206)
Citation 1

Abstract:

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

12.

Uncertainty Propagation and Dynamic Robust Risk Measures

Number of pages: 32 Posted: 27 Aug 2023 Last Revised: 06 Feb 2024
Marlon Moresco, Mélina Mailhot and Silvana M. Pesenti
Concordia University, Concordia University and University of Toronto
Downloads 137 (382,601)

Abstract:

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Dynamic Risk Measures, Time-consistency, Distributional Uncertainty, Wasserstein distance

13.

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 114 (440,098)
Citation 2

Abstract:

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

14.

Risk Contributions of Lambda Quantiles

Quantitative Finance 22(10):1-21
Number of pages: 35 Posted: 08 Jul 2021 Last Revised: 11 Nov 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 102 (477,124)
Citation 2

Abstract:

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

15.

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 77 (568,395)
Citation 3

Abstract:

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

16.

Sensitivity Measures Based on Scoring Functions

Number of pages: 38 Posted: 28 Mar 2022 Last Revised: 24 Oct 2022
Tobias Fissler and Silvana M. Pesenti
Vienna University of Economics and Business and University of Toronto
Downloads 72 (590,258)
Citation 5

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

17.

Optimal Robust Reinsurance with Multiple Insurers

Number of pages: 31 Posted: 23 Aug 2023 Last Revised: 21 Mar 2024
Emma Kroell, Sebastian Jaimungal and Silvana M. Pesenti
University of Toronto, University of Toronto - Department of Statistics and University of Toronto
Downloads 63 (633,330)

Abstract:

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Stackelberg game, reinsurance, excess-of-loss reinsurance, barycentre, Kullback-Leibler divergence

18.

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 48 (718,562)

Abstract:

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

19.

Optimal Transport Divergences Induced by Scoring Functions

Number of pages: 16 Posted: 13 Dec 2023 Last Revised: 11 Apr 2024
Silvana M. Pesenti and Steven Vanduffel
University of Toronto and Vrije Universiteit Brussel (VUB)
Downloads 39 (779,957)

Abstract:

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Optimal transport, risk measures, scoring functions, elicitability, coupling, Wasserstein distance, asymmetric Optimal Transport

20.

Differential Sensitivity in Discontinuous Models

Number of pages: 39 Posted: 07 Nov 2023
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 25 (894,583)

Abstract:

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Sensitivity analysis, importance measurement, differential sensitivity measures, simulation, risk measures, credit risk