VaR bounds in models with partial dependence information on subgroups
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Publication:1616346
DOI10.1515/demo-2017-0004zbMath1417.91284OpenAlexW2607064633MaRDI QIDQ1616346
Julian Witting, Ludger Rüschendorf
Publication date: 1 November 2018
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2017-0004
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Related Items (7)
Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Ordering results for elliptical distributions with applications to risk bounds ⋮ Equivalent distortion risk measures on moment spaces ⋮ Dependence in elliptical partial correlation graphs ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces
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