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Value-at-risk bounds with variance constraints

Recurso electrónico / Electronic resource
MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20170028802
003  MAP
005  20170907113722.0
008  170904e20170904usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
100  ‎$0‎MAPA20090034792‎$a‎Bernard, Carole
24510‎$a‎Value-at-risk bounds with variance constraints‎$c‎Carole Bernard, Ludger Rüschendorf, Steven Vanduffel
300  ‎$a‎37 p.
520  ‎$a‎We study bounds on the Value-at-Risk (VaR) of a portfolio when besides the marginal distributions of the components its variance is also known, a situation that is of considerable interest in risk management. We discuss when the bounds are sharp (attainable) and also point out a new connection between the study of VaR bounds and the convex ordering of aggregate risk. This connection leads to the construction of an algorithm, called Extended Rearrangement Algorithm (ERA), that makes it possible to approximate sharp VaR bounds. We test the stability and the quality of the algorithm in several numerical examples. We apply the results to the case of credit risk portfoloio models and verify that adding the variance constraint gives rise to significantly tighter bounds in all situations of interest.
650 4‎$0‎MAPA20080570958‎$a‎Valores límite
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
7001 ‎$0‎MAPA20170011576‎$a‎Rüschendorf, Ludger
7001 ‎$0‎MAPA20080650094‎$a‎Vanduffel, Steven
7730 ‎$w‎MAP20077000727‎$t‎The Journal of risk and insurance‎$d‎Nueva York : The American Risk and Insurance Association, 1964-‎$x‎0022-4367‎$g‎04/09/2017 Volumen 84 Número 3 - septiembre 2017 , p. 923-959