Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds

Paul Embrechts () and Edgars Jakobsons ()
Additional contact information
Paul Embrechts: ETH Zurich, Department of Mathematics
Edgars Jakobsons: ETH Zurich, Department of Mathematics

A chapter in The Fascination of Probability, Statistics and their Applications, 2016, pp 395-417 from Springer

Abstract: Abstract Over the recent years, numerous results have been derived in order to assess the properties of regulatory risk measures (in particular VaR and ES) under dependence uncertainty. In this paper we complement this mainly methodological research by providing several numerical examples for both homogeneous as well as inhomogeneous portfolios. In particular, we investigate under which circumstances the so-called worst-case VaR can be well approximated by the worst-case (i.e. comonotonic) ES. We also study best-case values and simple lower bounds.

Keywords: Value-at-risk; Expected shortfall; Risk aggregation; Dependence uncertainty; Inhomogeneous portfolio; Rearrangement algorithm (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-3-319-25826-3_18

Ordering information: This item can be ordered from
http://www.springer.com/9783319258263

DOI: 10.1007/978-3-319-25826-3_18

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().