Risk Bounds and Partial Dependence Information

Ludger Rüschendorf ()
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Ludger Rüschendorf: Albert-Ludwigs-Universität Freiburg, Abteilung für Mathematische Stochastik

Chapter Chapter 17 in From Statistics to Mathematical Finance, 2017, pp 345-366 from Springer

Abstract: Abstract The evaluation of risks and risk bounds for joint portfolios is an important task in connection with the determination of risk capital as induced by regulatory prescriptions in finance and in insurance. It faces two basic problems. One is induced by the model risk arising from the use of specific but possibly incorrect models. On the other hand risk estimates based only on basic information as for example on the marginal (individual) risk distributions may be too wide to be usable in practise. In this paper we survey some recent endeavor to include partial dependence and structural information in order to obtain reliable and usable improved risk bounds.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-50986-0_17

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DOI: 10.1007/978-3-319-50986-0_17

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