Risk bounds for factor models
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Publication:2364531
Recommendations
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- COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS
- Gaussian risk models with financial constraints
- Bounds for distorted risk measures
- Tests of risk premia in linear factor models
Cites work
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Analytic bounds and approximations for annuities and Asian options
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotic bounds for the distribution of the sum of dependent random variables
- Bounds for Asian basket options
- Bounds for the price of discrete arithmetic Asian options
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Common risk factors in the returns on stocks and bonds
- Comparative and qualitative robustness for law-invariant risk measures
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Computation of sharp bounds on the distribution of a function of dependent risks
- Consistent risk measures for portfolio vectors
- Convex majorization with an application to the length of critical paths
- Extreme negative dependence and risk aggregation
- Joint Mixability
- Law invariant risk measures have the Fatou property
- Making and evaluating point forecasts
- Qualitative and infinitesimal robustness of tail-dependent statistical functionals
- Random variables with maximum sums
- Reducing model risk via positive and negative dependence assumptions
- Risk aggregation with dependence uncertainty
- Risk Measures and Comonotonicity: A Review
- Robustness and sensitivity analysis of risk measurement procedures
- Stochastic finance. An introduction in discrete time
- Stochastic orders and risk measures: consistency and bounds
- The complete mixability and convex minimization problems with monotone marginal densities
- The Wasserstein distance and approximation theorems
- Upper and lower bounds for sums of random variables
Cited in
(33)- VaR bounds in models with partial dependence information on subgroups
- Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models
- Equivalent distortion risk measures on moment spaces
- Factor models for asset returns based on transformed factors
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Risk bounds with additional information on functionals of the risk vector
- Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables
- Sklar's theorem, copula products, and ordering results in factor models
- Correlation matrices with average constraints
- Range value-at-risk bounds for unimodal distributions under partial information
- Ordering results for elliptical distributions with applications to risk bounds
- Ordering risk bounds in factor models
- Reducing model risk via positive and negative dependence assumptions
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Analysis of risk bounds in partially specified additive factor models
- Risk aggregation under dependence uncertainty and an order constraint
- A reconciliation of the top-down and bottom-up approaches to risk capital allocations: proportional allocations revisited
- Characterization, robustness, and aggregation of signed Choquet integrals
- Collective risk models with dependence uncertainty
- Risk bounds and partial dependence information
- Ordering risk bounds in partially specified factor models
- Worst-case range value-at-risk with partial information
- Worst-case moments under partial ambiguity
- Supermodular and directionally convex comparison results for general factor models
- Copula modeling from Abe Sklar to the present day
- On measuring nonlinear risk with scarce observations
- Concentration inequality of sums of dependent subexponential random variables and application to bounds for value-at-risk
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Robust distortion risk measures
- Generalized Hoeffding-Fréchet functionals and mass transportation
- Robust Bernoulli mixture models for credit portfolio risk
- Robust risk evaluation of joint life insurance under dependence uncertainty
- Bernstein's inequality with a proper cover and upper bound of portfolio VaR and TVaR
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