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Worst VaR scenarios

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  • Embrechts, Paul
  • Hoing, Andrea
  • Puccetti, Giovanni

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  • Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:1:p:115-134
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    References listed on IDEAS

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    1. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    2. Denuit, M. & Genest, C. & Marceau, E., 1999. "Stochastic bounds on sums of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 85-104, September.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    4. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
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    Cited by:

    1. Dhaene, Jan & Laeven, Roger J.A. & Zhang, Yiying, 2022. "Systemic risk: Conditional distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 126-145.
    2. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
    3. Genest, Christian & Gerber, Hans U. & Goovaerts, Marc J. & Laeven, Roger J.A., 2009. "Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 143-145, April.
    4. Mai Jan-Frederik & Scherer Matthias, 2013. "What makes dependence modeling challenging? Pitfalls and ways to circumvent them," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 287-306, December.
    5. Fan, Yanqin & Guerre, Emmanuel & Zhu, Dongming, 2017. "Partial identification of functionals of the joint distribution of “potential outcomes”," Journal of Econometrics, Elsevier, vol. 197(1), pages 42-59.
    6. Laeven, Roger J.A., 2009. "Worst VaR scenarios: A remark," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 159-163, April.
    7. Gijbels, Irène & Herrmann, Klaus, 2014. "On the distribution of sums of random variables with copula-induced dependence," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 27-44.
    8. Asimit, Alexandru V. & Gerrard, Russell, 2016. "On the worst and least possible asymptotic dependence," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 218-234.
    9. Paul Embrechts & Giovanni Puccetti, 2006. "Aggregating risk capital, with an application to operational risk," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(2), pages 71-90, December.
    10. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022. "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
    11. Cascos, Ignacio & Molchanov, Ilya, 2013. "Choosing a random distribution with prescribed risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 599-605.
    12. Ozun, Alper & Cifter, Atilla, 2007. "Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas," MPRA Paper 2711, University Library of Munich, Germany.
    13. DE SCHEPPER, Ann & HEIJNEN, Bart, 2006. "Risk management under incomplete information: Exact upper and lower bounds for the Value at Risk," Working Papers 2006020, University of Antwerp, Faculty of Business and Economics.
    14. Berger, Allen N. & Curti, Filippo & Mihov, Atanas & Sedunov, John, 2022. "Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies," Journal of Banking & Finance, Elsevier, vol. 143(C).
    15. Kunio So & Junichi Imai, 2015. "Distributional Bounds for Portfolio Risk with Tail Dependence," Methodology and Computing in Applied Probability, Springer, vol. 17(3), pages 795-816, September.
    16. Kaas, Rob & Laeven, Roger J.A. & Nelsen, Roger B., 2009. "Worst VaR scenarios with given marginals and measures of association," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 146-158, April.
    17. Koch-Medina, Pablo & Munari, Cosimo & Svindland, Gregor, 2018. "Which eligible assets are compatible with comonotonic capital requirements?," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 18-26.
    18. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2011. "Worst case risk measurement: Back to the future?," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 380-392.
    19. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
    20. Azamat Abdymomunov & Filippo Curti, 2020. "Quantifying and Stress Testing Operational Risk with Peer Banks’ Data," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(3), pages 287-313, June.
    21. Mesfioui, Mhamed & Quessy, Jean-Francois, 2005. "Bounds on the value-at-risk for the sum of possibly dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 135-151, August.
    22. Sordo, M.A. & Bello, A.J. & Suárez-Llorens, A., 2018. "Stochastic orders and co-risk measures under positive dependence," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 105-113.
    23. Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J., 2006. "Quantitative models for operational risk: Extremes, dependence and aggregation," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2635-2658, October.
    24. Ye, Wuyi & Zhou, Yi & Chen, Pengzhan & Wu, Bin, 2024. "A simulation-based method for estimating systemic risk measures," European Journal of Operational Research, Elsevier, vol. 313(1), pages 312-324.
    25. Hanbali, Hamza & Dhaene, Jan & Linders, Daniël, 2022. "Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 22-37.

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