Model-free bounds on value-at-risk using extreme value information and statistical distances (Q2415965)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model-free bounds on value-at-risk using extreme value information and statistical distances |
scientific article |
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Model-free bounds on value-at-risk using extreme value information and statistical distances (English)
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23 May 2019
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value-at-risk bounds
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dependence uncertainty
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copulas
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improved Fréchet-Hoeffding bounds
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distribution of maxima and minima
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reduction principle
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distance to reference copula
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rearrangement algorithm
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