Model-free bounds on value-at-risk using extreme value information and statistical distances

DOI10.1016/j.insmatheco.2019.01.007zbMath1411.91305arXiv1610.09734OpenAlexW2901082034MaRDI QIDQ2415965

Antonis Papapantoleon, Thibaut Lux

Publication date: 23 May 2019

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09734

zbMATH Keywords

copulasdependence uncertaintyrearrangement algorithmreduction principleimproved Fréchet-Hoeffding boundsdistance to reference copuladistribution of maxima and minimavalue-at-risk bounds

Mathematics Subject Classification ID

Related Items (9)

Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ Multivariate copulas with given values at two arbitrary points ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ A hitchhiker's guide to quasi-copulas ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Measuring exposure to dependence risk with random Bernstein copula scenarios ⋮ On the class of truncation invariant bivariate copulas under constraints

Uses Software

• QRM

Cites Work

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