Risk bounds with additional information on functionals of the risk vector

Rüschendorf L. ()
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Rüschendorf L.: Ludger Rüschendorf, University of Freiburg, Eckerstraße 1, 79104 Freiburg, Germany

Dependence Modeling, 2018, vol. 6, issue 1, 102-113

Abstract: We consider the problem of determining risk bounds for the Value at Risk for risk vectors X where besides the marginal distributions also information on the distribution or on the expectation of some functionals Tj(X), 1 ≤ j ≤ m, is available. In particular this formulation includes the case where information on subgroup sums or maxima or on the correlations or covariances is available. Based on the method of dual bounds we obtain improved risk bounds compared to the marginal case. In general the explicit calculation of the dual bounds poses a challenge. We discuss various forms of relaxation of these bounds which are accessible and in some cases even lead to sharp bounds.

Keywords: risk bounds; Value-at-Risk; dependence uncertainty; Fréchet class (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:6:y:2018:i:1:p:102-113:n:6

DOI: 10.1515/demo-2018-0006

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