Model-free bounds on value-at-risk using extreme value information and statistical distances (Q2415965)
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scientific article; zbMATH DE number 7057807
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| English | Model-free bounds on value-at-risk using extreme value information and statistical distances |
scientific article; zbMATH DE number 7057807 |
Statements
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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0.8613684177398682
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0.8416760563850403
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0.8289942741394043
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0.821171760559082
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0.820673406124115
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