Improved algorithms for computing worst value-at-risk

DOI10.1515/STRM-2015-0028MaRDI QIDQ2397478zbMATH OpenOpenAlexWikidataFDO

Authors Marius Hofert, Amir Memartoluie, David Saunders, Tony S. Wirjanto

Publication date 22 May 2017

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://www.degruyter.com/view/j/strm.2017.34.issue-1-2/strm-2015-0028/strm-2015-0028.xml?format=INT

zbMATH Keywords

adaptive rearrangement algorithmmodel uncertaintyrisk aggregationvalue-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• A note on generalized inverses
• Algorithms for finding copulas minimizing convex functions of sums
• Bounds for functions of dependent risks
• Bounds for joint portfolios of dependent risks
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Computation of sharp bounds on the distribution of a function of dependent risks
• Extremal dependence concepts
• General construction and classes of explicit \(L^1\)-optimal couplings
• Monge-Kantorovich transportation problem and optimal couplings
• Permuting Elements Within Columns of a Matrix in Order to Minimize Maximum Row Sum
• Quantile of a mixture with application to model risk assessment
• Quantitative risk management. Concepts, techniques and tools
• Reducing model risk via positive and negative dependence assumptions
• Reduction of Value-at-Risk bounds via independence and variance information
• Risk aggregation with dependence uncertainty
• Variational Analysis

Cited in

(7)

• Upper bounds for strictly concave distortion risk measures on moment spaces
• Range value-at-risk bounds for unimodal distributions under partial information
• scientific article; zbMATH DE number 5997411 (Why is no real title available?)
• The rearrangement algorithm of Puccetti and Rüschendorf: proving the convergence
• scientific article; zbMATH DE number 7387532 (Why is no real title available?)
• The impact of correlation on (Range) Value-at-Risk
• High dimensional Bernoulli distributions: algebraic representation and applications

Describes a project that uses

Uses Software

• R
• QRM
• qrmtools

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