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

DOI10.1007/s10687-014-0198-5zbMath1314.91201MaRDI QIDQ482076

Robert Yuen, Stilian A. 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 risk; max-stable; lower orthant order; maximum portfolio loss; Tawn-Molchanov model

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G70: Extreme value theory; extremal stochastic processes

62G32: Statistics of extreme values; tail inference

91G10: Portfolio theory

Uses Software

• quadprog