Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss
  Functions   Understanding and measuring model risk is important to financial
practitioners. However, there lacks a non-parametric approach to model risk
quantification in a dynamic setting and with path-dependent losses. We propose
a complete theory generalizing the relative-entropic approach by Glasserman and
Xu to the dynamic case under any $f$-divergence. It provides an unified
treatment for measuring both the worst-case risk and the $f$-divergence budget
that originate from the model uncertainty of an underlying state process.

21
The categories of this paper are: adap-org
4
The categories of this paper are: cond-mat
6
The categories of this paper are: astro-ph
37
The categories of this paper are: supr-con
36
The categories of this paper are: cmp-lg
31
The categories of this paper are: ao-sci
5
The categories of this paper are: gr-qc
23
The categories of this paper are: solv-int
10
The categories of this paper are: q-bio
28
The categories of this paper are: alg-geom
2
The categories of this paper are: math
22
The categories of this paper are: chao-dyn
27
The categories of this paper are: comp-gas
12
The categories of this paper are: nucl-th
14
The categories of this paper are: math-ph
26
The categories of this paper are: bayes-an