VaR bounds in models with partial dependence information on subgroups

DOI10.1515/demo-2017-0004zbMath1417.91284OpenAlexW2607064633MaRDI QIDQ1616346

Julian Witting, Ludger Rüschendorf

Publication date: 1 November 2018

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2017-0004

zbMATH Keywords

dependence orderingscopula modelsrisk factor modelsVaR bounds

Mathematics Subject Classification ID

Related Items (7)

Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Ordering results for elliptical distributions with applications to risk bounds ⋮ Equivalent distortion risk measures on moment spaces ⋮ Dependence in elliptical partial correlation graphs ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces

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