Worst VaR scenarios: a remark

Open Access
Authors
Publication date 2005
Series ACT working paper
Number of pages 9
Publisher Amsterdam: University of Amsterdam, Dept. of Quantitative Economics, Actuarial Science
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract Theorem 15 of Embrechts, Höing & Puccetti (2005) proves that the comonotonic dependence structure gives rise to the on-average-most-adverse Value-at-Risk scenario
for a function of dependent risks, when the marginal distributions are known but the
dependence structure between the risks is unknown. This note extends this result
to the case where, instead of no information, partial information on the dependence
structure between the risks is available.
Document type Working paper
Note Universiteit van Amsterdam
Language English
Published at http://aimsrv1.fee.uva.nl/koen/attachme.nsf/view/9D446C16F4D08175C1256D39004E9FED/$file/Worst%20VaR%20Scenarios%20Extension1IME.pdf
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