VaR bounds for joint portfolios with dependence constraints

Giovanni Puccetti, Ludger Rüschendorf, and Dennis Manko. "VaR bounds for joint portfolios with dependence constraints." Dependence Modeling 4.1 (2016): 368-381, electronic only. <http://eudml.org/doc/287077>.

@article{GiovanniPuccetti2016,
abstract = {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.},
author = {Giovanni Puccetti, Ludger Rüschendorf, Dennis Manko},
journal = {Dependence Modeling},
keywords = {Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk; value-at-risk; dependence uncertainty; positive dependence; model risk},
language = {eng},
number = {1},
pages = {368-381, electronic only},
title = {VaR bounds for joint portfolios with dependence constraints},
url = {http://eudml.org/doc/287077},
volume = {4},
year = {2016},
}

TY - JOUR
AU - Giovanni Puccetti
AU - Ludger Rüschendorf
AU - Dennis Manko
TI - VaR bounds for joint portfolios with dependence constraints
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 368
EP - 381, electronic only
AB - 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.
LA - eng
KW - Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk; value-at-risk; dependence uncertainty; positive dependence; model risk
UR - http://eudml.org/doc/287077
ER -