VaR bounds for joint portfolios with dependence constraints
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Recommendations
- Bounds for joint portfolios of dependent risks
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Value-at-risk bounds with two-sided dependence information
- Reduction of Value-at-Risk bounds via independence and variance information
- On the bounds of value-at-risk for portfolio of interdependent risks
Cites work
- scientific article; zbMATH DE number 3385036 (Why is no real title available?)
- A kolmogorov-smirnov type test for positive quadrant dependence
- A note on `Improved Fréchet bounds and model-free pricing of multi-asset options' by Tankov (2011)
- An introduction to copulas.
- Best-Possible Bounds on Sets of Multivariate Distribution Functions
- Best-possible bounds on sets of bivariate distribution functions
- Bounds for functions of dependent risks
- Bounds for joint portfolios of dependent risks
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Bounds for the sum of dependent risks having overlapping marginals
- Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Computation of sharp bounds on the distribution of a function of dependent risks
- Extremal dependence concepts
- Improved Fréchet bounds and model-free pricing of multi-asset options
- Improved Fréchet-Hoeffding bounds on d-copulas and applications in model-free finance
- Inequalities: theory of majorization and its applications
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Optimal claims with fixed payoff structure
- Principles of copula theory
- Quantitative risk management. Concepts, techniques and tools
- Reducing model risk via positive and negative dependence assumptions
- Reduction of Value-at-Risk bounds via independence and variance information
- Sharp bounds for sums of dependent risks
- Sharp bounds on a class of copulas with known values at several points
- Solution of Some Transportation Problems with Relaxed or Additional Constraints
- Some results on convexity and concavity of multivariate copulas
- Using copulae to bound the value-at-risk for functions of dependent risks
Cited in
(23)- Worst-case range value-at-risk with partial information
- Range value-at-risk bounds for unimodal distributions under partial information
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Aggregating risks with partial dependence information
- VaR bounds in models with partial dependence information on subgroups
- Risk aggregation under dependence uncertainty and an order constraint
- Risk bounds with additional information on functionals of the risk vector
- Analysis of risk bounds in partially specified additive factor models
- Collective risk models with dependence uncertainty
- Portfolio Value at Risk Bounds
- On the class of truncation invariant bivariate copulas under constraints
- Model risk in credit risk
- Detection of arbitrage opportunities in multi-asset derivatives markets
- A hitchhiker's guide to quasi-copulas
- Multivariate copulas with given values at two arbitrary points
- Bounds for joint portfolios of dependent risks
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Value-at-risk bounds with two-sided dependence information
- Distributional bounds for portfolio risk with tail dependence
- Distributionally robust inference for extreme value-at-risk
- The impact of correlation on (Range) Value-at-Risk
- Copulas with given values on the tails
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