Variance Papers Published, May 1-5, 2023
Two new papers have been published on the Variance website:
"Multivariate Copula Modeling for Improving Agricultural Risk Assessment under Climate Variability"
By Marwah Soliman, Nathaniel K. Newlands, Vyacheslav Lyubchich, and Yulia R. Gel
The authors introduce multivariate copula modeling (MCM) for capturing yield-climate dependence and evaluate its utility by benchmarking its performance on a multi-scale yield-climate dataset against state-of-the-art competing model-based approaches.
"A Practical Approach to Quantitative Model Risk Assessment"
By Carole Bernard, Rodrigue Kazzi, and Steven Vanduffel
This paper reviews the existing literature on model risk assessment and shows how to use the theoretical results to develop a corresponding best practice.