The impact of correlation on (Range) Value-at-Risk
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Recommendations
- Bounds on the value-at-risk for the sum of possibly dependent risks
- Portfolio Value at Risk Bounds
- Using copulae to bound the value-at-risk for functions of dependent risks
- VaR bounds for joint portfolios with dependence constraints
- Reduction of Value-at-Risk bounds via independence and variance information
Cites work
- A Comparison of Bounds on Sets of Joint Distribution Functions Derived from Various Measures of Association
- Algorithms for finding copulas minimizing convex functions of sums
- Assessing financial model risk
- Best-possible bounds on sets of bivariate distribution functions
- Block rearranging elements within matrix columns to minimize the variability of the row sums
- Bounds for functions of dependent risks
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- 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
- Detecting complete and joint mixability
- Estimates for the Distribution Function of a Sum of Two Random Variables When the Marginal Distributions are Fixed
- Extremal dependence concepts
- Fair allocation of indivisible goods with minimum inequality or minimum envy
- Improved algorithms for computing worst value-at-risk
- Quantile-based risk sharing
- Random variables with maximum sums
- Rearrangement algorithm and maximum entropy
- Reducing model risk via positive and negative dependence assumptions
- Reduction of Value-at-Risk bounds via independence and variance information
- Risk aggregation with dependence uncertainty
- Risk Measures and Comonotonicity: A Review
- Robustness and sensitivity analysis of risk measurement procedures
- Sharp bounds for sums of dependent risks
- Stochastic orders
- Sums of standard uniform random variables
- The complete mixability and convex minimization problems with monotone marginal densities
- The Solvency II square-root formula for systematic biometric risk
- Using copulae to bound the value-at-risk for functions of dependent risks
- Worst VaR scenarios
- Worst VaR scenarios with given marginals and measures of association
Cited in
(6)- Observations on industry practice in the construction of large correlation structures for risk and capital margins
- Analysis of value at risk when cumulative investment and interest rate is correlative stochastic processes
- Portfolio Value at Risk Bounds
- Model risk in credit risk
- Upper comonotonicity and risk aggregation under dependence uncertainty
- Pricing insurance contracts with an existing portfolio as background risk
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