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

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.

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Year of publication:	2002-12-10
Authors:	Embrechts, Paul ; Höing, Andrea ; Juri, Alessandro
Published in:	Finance and Stochastics. - Springer. - Vol. 7.2003, 2, p. 145-167
Publisher:	Springer
Subject:	Comonotonicity \| copulae \| dependent risks \| Fréchet bounds \| orthant dependence \| risk management \| Value-at-Risk

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: May 2001; final version received: June 2002
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005759625