VaR bounds for joint portfolios with dependence constraints

• Autorzy: Giovanni Puccetti , Ludger Rüschendorf , Dennis Manko
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2016-06-14

zaakceptowano

2016-10-04

online

2016-12-14

Twórcy

autor

Giovanni Puccetti

• Department of Economics, Management and Quantitative Methods, University of Milano, Italy

autor

Ludger Rüschendorf

• Department of Mathematical Stochastics, University of Freiburg, Germany

autor

Dennis Manko

• Department of Mathematical Stochastics, University of Freiburg, Germany

Identyfikatory

DOI

10.1515/demo-2016-0021