{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,11]],"date-time":"2025-10-11T00:38:16Z","timestamp":1760143096702,"version":"build-2065373602"},"reference-count":42,"publisher":"MDPI AG","issue":"2","license":[{"start":{"date-parts":[[2024,1,24]],"date-time":"2024-01-24T00:00:00Z","timestamp":1706054400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"name":"MCIN\/AEI\/10.13039\/501100011033","award":["PID2021-122209OB-C32"],"award-info":[{"award-number":["PID2021-122209OB-C32"]}]},{"name":"ERDF","award":["PID2021-122209OB-C32"],"award-info":[{"award-number":["PID2021-122209OB-C32"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Axioms"],"abstract":"<jats:p>In the context of robust Bayesian analysis, studies mainly focus on computing the range of some quantities of interest when the prior distribution varies in a class. We use the concept of distorted bands to introduce a family of priors on the shape parameter of the Generalized Pareto distribution. We show how certain properties of the likelihood ratio order allow us to propose novel sensitivity measures for Value at Risk and Conditional Value at Risk, which are the most useful and reliable risk measures. Although we focus on the Generalized Pareto distribution, which is essential in Extreme Value Theory, the new sensitivity measures could be employed for all the distributions that verify certain conditions related to likelihood ratio order. A thorough simulation study was carried out to perform a sensitivity analysis, and two illustrative examples are also provided.<\/jats:p>","DOI":"10.3390\/axioms13020077","type":"journal-article","created":{"date-parts":[[2024,1,24]],"date-time":"2024-01-24T09:57:42Z","timestamp":1706090262000},"page":"77","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors"],"prefix":"10.3390","volume":"13","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6060-1287","authenticated-orcid":false,"given":"Jos\u00e9 Pablo","family":"Arias-Nicol\u00e1s","sequence":"first","affiliation":[{"name":"Department of Mathematics, University of Extremadura, 06006 Badajoz, Spain"}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-8380-1898","authenticated-orcid":false,"given":"Mar\u00eda Isabel","family":"Parra","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of Extremadura, 06006 Badajoz, Spain"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-4604-2439","authenticated-orcid":false,"given":"Mario M.","family":"Pizarro","sequence":"additional","affiliation":[{"name":"Department of Economics and Statistics, University of Le\u00f3n, 24071 Le\u00f3n, Spain"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1549-7964","authenticated-orcid":false,"given":"Eva L.","family":"Sanju\u00e1n","sequence":"additional","affiliation":[{"name":"Department of Mathematics, University of Extremadura, 06006 Badajoz, Spain"}]}],"member":"1968","published-online":{"date-parts":[[2024,1,24]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1214\/aos\/1176349933","article-title":"Robust Bayes and empirical Bayes analysis with \u03b5-contaminated priors","volume":"14","author":"Berger","year":"1986","journal-title":"Ann. 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