Ordering risk bounds in partially specified factor models

MaRDI QIDQ4631196zbMATH OpenFDO

Authors Jonathan Ansari

Publication date 24 April 2019

Full work available at URL http://d-nb.info/1183569939/34

zbMATH Keywords

copula derivativesrisk factor modelsSchur-ordersupermodular order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Statistical methods; risk measures (91G70)

Recommendations

• Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
• Ordering risk bounds in factor models
• Ordering results for elliptical distributions with applications to risk bounds
• Sklar's theorem, copula products, and ordering results in factor models
• Risk bounds for factor models

Cited in

(9)

• Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
• Sklar's theorem, copula products, and ordering results in factor models
• Ordering results for elliptical distributions with applications to risk bounds
• Ordering risk bounds in factor models
• Risk bounds for factor models
• Analysis of risk bounds in partially specified additive factor models
• Modeling country risk ratings using partial orders
• Dependence properties of bivariate copula families
• Quantifying and estimating dependence via sensitivity of conditional distributions

This page was built for publication: Ordering risk bounds in partially specified factor models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4631196)