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 / Mathematics & economics 86 (2019), pp. 73-83

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

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

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

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

Model uncertainty and VaR aggregation

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of Banking & Finance 37 (2013) 8, pp. 2750-2764

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...

Persistent link: https://www.econbiz.de/10011065725