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

Author

Listed:
  • Paul Embrechts

    (Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland Manuscript)

  • Andrea Höing

    (Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland Manuscript)

  • Alessandro Juri

    (Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland Manuscript)

Abstract

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.

Suggested Citation

  • Paul Embrechts & Andrea Höing & Alessandro Juri, 2003. "Using copulae to bound the Value-at-Risk for functions of dependent risks," Finance and Stochastics, Springer, vol. 7(2), pages 145-167.
    • Handle: RePEc:spr:finsto:v:7:y:2003:i:2:p:145-167
    Note: received: May 2001; final version received: June 2002
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    Citations

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    Cited by:

    1. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    2. Juri, Alessandro & Wuthrich, Mario V., 2002. "Copula convergence theorems for tail events," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 405-420, June.
    3. Enrico De Giorgi, "undated". "A Note on Portfolio Selection under Various Risk Measures," IEW - Working Papers 122, Institute for Empirical Research in Economics - University of Zurich.

    More about this item

    Keywords

    Comonotonicity; copulae; dependent risks; Fréchet bounds; orthant dependence; risk management; Value-at-Risk;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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