Reducing model risk via positive and negative dependence assumptions
Year of publication: |
2015
|
---|---|
Authors: | Bignozzi, Valeria ; Puccetti, Giovanni ; Rüschendorf, Ludger |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 17-26
|
Subject: | Model risk | Dependence uncertainty | Positive dependence | Value-at-Risk | Convex risk measures | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Risikomanagement | Risk management | Messung | Measurement | Portfolio-Management | Portfolio selection |
-
Asymptotic equivalence of risk measures under dependence uncertainty
Cai, Jun, (2018)
-
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni, (2017)
-
Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul, (2015)
- More ...
-
Reducing Model Risk via Positive and Negative Dependence Assumptions
Bignozzi, Valeria, (2015)
-
Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria, (2015)
-
Conditional Expectiles, Time Consistency and Mixture Convexity Properties
Bellini, Fabio, (2018)
- More ...