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VaR bounds for joint portfolios with dependence constraints

VaR bounds for joint portfolios with dependence constraints 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

VaR bounds for joint portfolios with dependence constraints

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Publisher
de Gruyter
Copyright
Copyright © 2016 by the
eISSN
2300-2298
DOI
10.1515/demo-2016-0021
Publisher site
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Abstract

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.

Journal

Dependence Modeling – de Gruyter

Published: Dec 14, 2016

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