Rodrigue Kazzi

Vrije Universiteit Brussel (VUB)

Doctoral Student

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

SCHOLARLY PAPERS

4

DOWNLOADS

205

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

A Practical Approach to Quantitative Model Risk Assessment

Number of pages: 41 Posted: 27 Apr 2020 Last Revised: 24 Nov 2020
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 177 (235,335)

Abstract:

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Value-at-Risk, Risk bounds, Model risk contribution, Model risk capital requirements, Parameter risk, Credibility factors, Generalized Pareto distribution

2.

Bounds on Range Value-at-Risk for Unimodal Symmetric Distributions

Number of pages: 15 Posted: 03 Jun 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 18 (717,991)

Abstract:

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Range Value-at-Risk, Value-at-Risk, unimodality, symmetry, risk bounds, Gauss inequality

3.

An updated version of 'Range Value-at-Risk Bounds for Unimodal Distributions Under Partial Information'

Number of pages: 44 Posted: 05 Mar 2022 Last Revised: 23 May 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and affiliation not provided to SSRN
Downloads 10 (789,961)

Abstract:

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Model risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds

4.

Range Value-at-Risk Bounds for Unimodal Distributions under Partial Information

Insurance: Mathematics and Economics, Vol. 94, p. 9-24, September 2020
Posted: 30 Jun 2019 Last Revised: 23 May 2022
Carole Bernard, Rodrigue Kazzi and Steven Vanduffel
Grenoble Ecole de Management, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)

Abstract:

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Model risk, Value-at-Risk, Tail Value-at-Risk, Range Value-at-Risk, Convex ordering, Unimodal distributions, Risk bounds