VaR bounds for joint portfolios with dependence constraints

DOI10.1515/demo-2016-0021zbMath1386.91175OpenAlexW3122101447MaRDI QIDQ727669

Dennis Manko, Giovanni Puccetti, Ludger Rüschendorf

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

zbMATH Keywords

positive dependencevalue-at-riskmodel riskdependence uncertainty

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (17)

Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Copulas with given values on the tails ⋮ Detection of arbitrage opportunities in multi-asset derivatives markets ⋮ 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 ⋮ Model risk in credit risk ⋮ Multivariate copulas with given values at two arbitrary points ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Aggregating Risks with Partial Dependence Information ⋮ A hitchhiker's guide to quasi-copulas ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Distributionally robust inference for extreme value-at-risk

Uses Software

• QRM

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