Displaying similar documents to “Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.”

VaR bounds for joint portfolios with dependence constraints

Giovanni Puccetti, Ludger Rüschendorf, Dennis Manko (2016)

Dependence Modeling

Similarity:

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...

Some short elements on hedging credit derivatives

Philippe Durand, Jean-Frédéric Jouanin (2007)

ESAIM: Probability and Statistics

Similarity:

In practice, it is well known that hedging a derivative instrument can never be perfect. In the case of credit derivatives ( synthetic CDO tranche products), a trader will have to face some specific difficulties. The first one is the inconsistence between most of the existing pricing models, where the risk is the occurrence of defaults, and the real hedging strategy, where the trader will protect his portfolio against small CDS spread movements. The second one, which is the main subject...

Discrete Lundberg-type bounds with actuarial applications

Kristina Sendova (2007)

ESAIM: Probability and Statistics

Similarity:

Different kinds of renewal equations repeatedly arise in connection with renewal risk models and variations. It is often appropriate to utilize bounds instead of the general solution to the renewal equation due to the inherent complexity. For this reason, as a first approach to construction of bounds we employ a general Lundberg-type methodology. Second, we focus specifically on exponential bounds which have the advantageous feature of being closely connected to the asymptotic behavior...