Quantile of a Mixture with Application to Model Risk Assessment
Bernard Carole and
Steven Vanduffel (steven.vanduffel@vub.ac.be)
Additional contact information
Bernard Carole: Department of Accounting, Law and Finance at the Grenoble Ecole de Management
Dependence Modeling, 2015, vol. 3, issue 1, 10
Abstract:
We provide an explicit expression for the quantile of a mixture of two random variables. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence information is available. This paper complements the work of [4].
Keywords: Model Risk; Rearrangement Algorithm; Mixture; 60E05; 60E15; Model Risk; Rearrangement Algorithm; Mixture; 60E05; 60E15 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (4)
Downloads: (external link)
https://doi.org/10.1515/demo-2015-0012 (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:3:y:2015:i:1:p:10:n:12
DOI: 10.1515/demo-2015-0012
Access Statistics for this article
Dependence Modeling is currently edited by Giovanni Puccetti
More articles in Dependence Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla (peter.golla@degruyter.com).