Risk bounds for factor models
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Publication:2364531
DOI10.1007/s00780-017-0328-4zbMath1443.91338OpenAlexW3121277148MaRDI QIDQ2364531
Ruodu Wang, Steven Vanduffel, Carole Bernard, Ludger Rüschendorf
Publication date: 21 July 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-017-0328-4
Related Items (22)
VaR bounds in models with partial dependence information on subgroups ⋮ Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Risk aggregation under dependence uncertainty and an order constraint ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ Correlation matrices with average constraints ⋮ Worst-case moments under partial ambiguity ⋮ Supermodular and directionally convex comparison results for general factor models ⋮ Copula modeling from Abe Sklar to the present day ⋮ Risk Bounds and Partial Dependence Information ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Ordering results for elliptical distributions with applications to risk bounds ⋮ Equivalent distortion risk measures on moment spaces ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Ordering risk bounds in factor models ⋮ Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ Sklar's theorem, copula products, and ordering results in factor models
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