Wasserstein距离下的模型风险度量
Model Risk Measurement under Wasserstein Distance
摘要：
本文提出了一种基于两个概率测度之间的Wasserstein距离的风险度量模型。阐述了稳健风险管理虚拟对手理论的理论动因。所提出的方法占等效和非等效的概率措施，并结合了经济现实的虚拟对手。它提供了实际可行的结果，克服了只考虑模型隐含的概率措施相当于参考模型的限制。Wasserstein方法适用于各种类型的模型风险问题，从单资产对冲风险问题到多资产配置问题。稳健的资本市场线，会计的相关性风险，是无法实现与其他非参数方法。
英文摘要：
The paper proposes a new approach to model risk measurement based on the Wasserstein distance between two probability measures. It formulates the theoretical motivation resulting from the interpretation of fictitious adversary of robust risk management. The proposed approach accounts for equivalent and non-equivalent probability measures and incorporates the economic reality of the fictitious adversary. It provides practically feasible results that overcome the restriction of considering only models implying probability measures equivalent to the reference model. The Wasserstein approach suits for various types of model risk problems, ranging from the single-asset hedging risk problem to the multi-asset allocation problem. The robust capital market line, accounting for the correlation risk, is not achievable with other non-parametric approaches.
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