Upper bounds on value-at-risk for the maximum portfolio loss

DOI10.1007/S10687-014-0198-5zbMath1314.91201OpenAlexW2037277027MaRDI QIDQ482076

Robert Yuen, Stilian A. Stoev

Publication date: 19 December 2014

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-014-0198-5

zbMATH Keywords

value at riskmax-stablelower orthant ordermaximum portfolio lossTawn-Molchanov model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Portfolio theory (91G10)

Related Items (3)

The realization problem for tail correlation functions ⋮ Stochastic ordering in multivariate extremes ⋮ Max-stable random sup-measures with comonotonic tail dependence

Uses Software

• quadprog

Cites Work

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• Discussion of ``Statistical modeling of spatial extremes by A. C. Davison, S. A. Padoan and M. Ribatet

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