VaR bounds for joint portfolios with dependence constraints
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Publication:727669
DOI10.1515/DEMO-2016-0021zbMATH Open1386.91175OpenAlexW3122101447MaRDI QIDQ727669FDOQ727669
Authors: Giovanni Puccetti, Ludger Rüschendorf, Dennis Manko 
Publication date: 20 December 2016
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2016-0021
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15)
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- Reduction of Value-at-Risk bounds via independence and variance information
Cited In (23)
- 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
- Collective risk models with dependence uncertainty
- Risk aggregation under dependence uncertainty and an order constraint
- Analysis of risk bounds in partially specified additive factor models
- Risk bounds with additional information on functionals of the risk vector
- Portfolio Value at Risk Bounds
- Model risk in credit risk
- On the class of truncation invariant bivariate copulas under constraints
- Detection of arbitrage opportunities in multi-asset derivatives markets
- Multivariate copulas with given values at two arbitrary points
- A hitchhiker's guide to quasi-copulas
- Bounds for joint portfolios of dependent risks
- Value-at-risk bounds with two-sided dependence information
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- 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
- Worst-case range value-at-risk with partial information
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