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Quantile of a Mixture with Application to Model Risk Assessment

Bernard Carole and Steven Vanduffel (steven.vanduffel@vub.ac.be)
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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
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Citations: View citations in EconPapers (4)

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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

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