Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: Dependence Uncertainty

Sortuj według:

Ogranicz wyniki do:

VaR bounds for joint portfolios with dependence constraints

100%

Puccetti G., Rüschendorf L., Manko D.

Dependence Modeling

2016

tom 4

nr 1

Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality is illustrated in a series of examples of practical interest.

Ograniczanie wyników

1 Dependence Modeling

1 Manko D.

1 Puccetti G.

1 Rüschendorf L.

1 2016

Wyniki wyszukiwania

VaR bounds for joint portfolios with dependence constraints