Search Results - subject:"Rearrangement algorithm"

Implementing the rearrangement algorithm: An example from computational risk management

Hofert, Marius - In: Risks 8 (2020) 2, pp. 1-28

After a brief overview of aspects of computational risk management, the implementation of the rearrangement algorithm …. It is demonstrated how a basic implementation of the rearrangement algorithm can gradually be improved to provide a fast …

Persistent link: https://www.econbiz.de/10013200581

Implementing the rearrangement algorithm : an example from computational risk management

Hofert, Marius - In: Risks : open access journal 8 (2020) 2/47, pp. 1-28

Persistent link: https://www.econbiz.de/10012292826

Value-at-risk and models of dependence in the U.S. federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-21

the marginal distributions of losses and provide sharp bounds on VaR using a rearrangement algorithm. Our results are …

Persistent link: https://www.econbiz.de/10012611133

Value-at-risk and models of dependence in the U.S. federal crop insurance program

Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of risk and financial management : JRFM 12 (2019) 2/65, pp. 1-21

the marginal distributions of losses and provide sharp bounds on VaR using a rearrangement algorithm. Our results are …

Persistent link: https://www.econbiz.de/10012022159

A model-free approach to multivariate option pricing

Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven - In: Review of derivatives research 24 (2021) 2, pp. 135-155

Persistent link: https://www.econbiz.de/10012549100

Model-free bounds on Value-at-Risk using extreme value information and statistical distances

Lux, Thibaut; Papapantoleon, Antonis - In: Insurance 86 (2019), pp. 73-83

Persistent link: https://www.econbiz.de/10012058825

How robust is the value-at-risk of credit risk portfolios?

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: The European journal of finance 23 (2017) 4/6, pp. 507-534

Persistent link: https://www.econbiz.de/10011736292

Improved algorithms for computing worst Value-at-Risk

Hofert, Marius; Memartoluie, Amir; Saunders, David; … - In: Statistics & Risk Modeling 34 (2017) 1-2, pp. 13-31

and computational improvements to the Rearrangement Algorithm for approximating worst Value-at-Risk for portfolios with … arbitrary marginal loss distributions are given. In particular, a novel Adaptive Rearrangement Algorithm is introduced and …

Persistent link: https://www.econbiz.de/10014621247

A new approach to assessing model risk in high dimensions

Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178

Persistent link: https://www.econbiz.de/10011543968

Sharp bounds on the expected shortfall for a sum of dependent random variables

Puccetti, Giovanni - In: Statistics & Probability Letters 83 (2013) 4, pp. 1227-1232

Using a connection between the rearrangement algorithm introduced in Puccetti and Rüschendorf (2012) and convex order …

Persistent link: https://www.econbiz.de/10011039826

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