Add to ORKGThis paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is available. The same problem for the Tail-Value-at-Risk is also briefly discussed
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
There is a recent interest in finding bounds for risk measures of portfolios when the marginal distri...
This paper studies the problem of finding best-possible upper bounds on a rich class of risk measure...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic dependence structure gi...
Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic de-pendence struct...
The worst possible Value-at-Risk for a non-decreasing function \u3c8 of n dependent risks is known w...
In quantitative risk management, it is important and challenging to find sharp bounds for the distri...
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possib...
This paper offers a methodology for calculating optimal bounds on tail risk probabilities by derivin...
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and reg...
Value at risk (VaR) is a prevalent risk measure used in financial risk management. The calculation o...
In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (199...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
There is a recent interest in finding bounds for risk measures of portfolios when the marginal distri...
This paper studies the problem of finding best-possible upper bounds on a rich class of risk measure...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a func...
In this paper, explicit lower and upper bounds on the value-at-risk (VaR) for the sum of possibly de...
Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic dependence structure gi...
Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic de-pendence struct...
The worst possible Value-at-Risk for a non-decreasing function \u3c8 of n dependent risks is known w...
In quantitative risk management, it is important and challenging to find sharp bounds for the distri...
For a sequence of random variables X 1, ..., X n , the dependence scenario yielding the worst possib...
This paper offers a methodology for calculating optimal bounds on tail risk probabilities by derivin...
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and reg...
Value at risk (VaR) is a prevalent risk measure used in financial risk management. The calculation o...
In this paper, we extend the concept of mutual exclusivity proposed by [Dhaene, J. & Denuit, M. (199...
A central problem for regulators and risk managers concerns the risk assessment of an aggregate port...
There is a recent interest in finding bounds for risk measures of portfolios when the marginal distri...
This paper studies the problem of finding best-possible upper bounds on a rich class of risk measure...