Worst VaR scenarios

DOI10.1016/J.INSMATHECO.2005.01.006MaRDI QIDQ2567093zbMATH OpenOpenAlexFDO

Authors Paul Embrechts, Andrea Höing, Giovanni Puccetti

Publication date 29 September 2005

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2005.01.006

zbMATH Keywords

comonotonic riskscopulasdependent risksvalue-at-risk

Mathematics Subject Classification ID

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Cites work

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• Stochastic bounds on sums of dependent risks
• Stop-loss order for portfolios of dependent risks
• The concept of comonotonicity in actuarial science and finance: theory.
• Using copulae to bound the value-at-risk for functions of dependent risks

Cited in

(27)

• Worst VaR scenarios with given marginals and measures of association
• Worst VaR scenarios: A remark
• Which eligible assets are compatible with comonotonic capital requirements?
• Stochastic orders and co-risk measures under positive dependence
• Worst case portfolio vectors and diversification effects
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• On the uncertainty of VaR of individual risk
• Choosing a random distribution with prescribed risks
• Extreme VaR scenarios in higher dimensions
• On the distribution of sums of random variables with copula-induced dependence
• Bounds on the value-at-risk for the sum of possibly dependent risks
• Systemic risk: conditional distortion risk measures
• Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
• Dependence uncertainty for aggregate risk: examples and simple bounds
• Optimal expected-shortfall portfolio selection with copula-induced dependence
• Worst-case range value-at-risk with partial information
• Distributional bounds for portfolio risk with tail dependence
• Distributionally robust goal-reaching optimization in the presence of background risk
• Partial identification of functionals of the joint distribution of ``potential outcomes
• OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
• A simulation-based method for estimating systemic risk measures
• The impact of correlation on (Range) Value-at-Risk
• Worst-case moments under partial ambiguity
• Multivariate tail dependence and local stochastic dominance
• Worst case risk measurement: back to the future?
• Quantile-based risk contribution measures for risk portfolios with positive dependence
• On the worst and least possible asymptotic dependence

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