Reduction of Value-at-Risk bounds via independence and variance information

Recommendations

Value-at-risk bounds with two-sided dependence information
Risk bounds and partial dependence information
Bounds on the value-at-risk for the sum of possibly dependent risks
A new variance reduction technique for estimating value-at-risk
On the bounds of value-at-risk for portfolio of interdependent risks
Large deviations bounds for estimating conditional value-at-risk
Variance Reduction Techniques for Estimating Value-at-Risk
Model-free bounds on value-at-risk using extreme value information and statistical distances
scientific article; zbMATH DE number 5363850
Range value-at-risk bounds for unimodal distributions under partial information

Cites work

Aggregation-robustness and model uncertainty of regulatory risk measures
Bounds for joint portfolios of dependent risks
Bounds on total economic capital: the DNB case study
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
Copula based hierarchical risk aggregation through sample reordering
scientific article; zbMATH DE number 605729 (Why is no real title available?)
scientific article; zbMATH DE number 2231189 (Why is no real title available?)
Inequalities for distributions with given marginals
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
Quantile of a mixture with application to model risk assessment
Reducing model risk via positive and negative dependence assumptions

Cited in

(32)

VaR bounds in models with partial dependence information on subgroups
Equivalent distortion risk measures on moment spaces
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
Simulation methods for robust risk assessment and the distorted mix approach
Correlation matrices with average constraints
Range value-at-risk bounds for unimodal distributions under partial information
Reducing model risk via positive and negative dependence assumptions
Improved algorithms for computing worst value-at-risk
Model-free bounds on value-at-risk using extreme value information and statistical distances
Analysis of risk bounds in partially specified additive factor models
Bounds on the value-at-risk for the sum of possibly dependent risks
Risk aggregation under dependence uncertainty and an order constraint
Variance Reduction Techniques for Estimating Value-at-Risk
Collective risk models with dependence uncertainty
Sharp bounds on change in expected values and variances for single risk analysis in the flood catastrophe model
Risk bounds and partial dependence information
Worst-case range value-at-risk with partial information
Portfolio Value at Risk Bounds
Model uncertainty in a holistic perspective
On the bounds of value-at-risk for portfolio of interdependent risks
On bounds of value-at-risk and convex risk measure of portfolio of weighted dependent risks
Value-at-risk bounds with two-sided dependence information
Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
The impact of correlation on (Range) Value-at-Risk
Concentration inequality of sums of dependent subexponential random variables and application to bounds for value-at-risk
Data-driven approximation of distributionally robust chance constraints using Bayesian credible intervals
Probability inequalities for sums of partly acceptable random variables with finite moments
Generalized Hoeffding-Fréchet functionals and mass transportation
Robust Bernoulli mixture models for credit portfolio risk
VaR bounds for joint portfolios with dependence constraints

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