Upper bounds on value-at-risk for the maximum portfolio loss

DOI10.1007/S10687-014-0198-5zbMATHOpenAlexMaRDI QIDQ482076FDO

Authors Robert Yuen, Stilian Stoev

Publication date 19 December 2014

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-014-0198-5

zbMATH Keywords

value at riskmax-stablelower orthant ordermaximum portfolio lossTawn-Molchanov model

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

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• Stochastic orders

Cited in

(4)

• The realization problem for tail correlation functions
• Maximum variation of total risk
• Max-stable random sup-measures with comonotonic tail dependence
• Stochastic ordering in multivariate extremes

Describes a project that uses

Uses Software

• quadprog

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