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

Paul Embrechts, Andrea Höing and Alessandro Juri
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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

Finance and Stochastics, 2003, vol. 7, issue 2, 145-167

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.

Keywords: Comonotonicity; copulae; dependent risks; Fréchet bounds; orthant dependence; risk management; Value-at-Risk (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2002-12-10
Note: received: May 2001; final version received: June 2002
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Citations: View citations in EconPapers (3)

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