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Using copulae to bound the Value-at-Risk for functions of dependent risks

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Author Info
Paul Embrechts (Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland Manuscript)
Andrea Höing (Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland Manuscript)
Alessandro Juri (Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland Manuscript)
Abstract

The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on Value-at-Risk as a risk measure.

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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 7 (2003)
Issue (Month): 2 ()
Pages: 145-167
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Handle: RePEc:spr:finsto:v:7:y:2003:i:2:p:145-167

Note: received: May 2001; final version received: June 2002
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Related research
Keywords: Comonotonicity; copulae; dependent risks; Fréchet bounds; orthant dependence; risk management; Value-at-Risk;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

Cited by:
(explanations, RSS feed, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Working Papers 0226, Department of Economics, Vanderbilt University, revised Oct 2004. [Downloadable!]
  2. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society. [Downloadable!]
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