Search

Measuring portfolio risk under partial dependence information

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Measuring portfolio risk under partial dependence information</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080096434">
<namePart>Denuit, Michel</namePart>
<nameIdentifier>MAPA20080096434</nameIdentifier>
</name>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080650094">
<namePart>Vanduffel, Steven</namePart>
<nameIdentifier>MAPA20080650094</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">usa</placeTerm>
</place>
<dateIssued encoding="marc">2018</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">eng</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">In this article, we assess model risk on aggregation. If the marginal distributions of the risky components are known but their interdependence is not, it is possible to identify models that give rise to the maximum and minimum possible values for VaR</abstract>
<note type="statement of responsibility">Carole Bernard, Michel Denuit, Steven Vanduffel</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080606718">
<topic>Información financiera</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080564254">
<topic>Solvencia II</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590567">
<topic>Empresas de seguros</topic>
</subject>
<classification authority="">7</classification>
<relatedItem type="host">
<titleInfo>
<title>The Journal of risk and insurance</title>
</titleInfo>
<originInfo>
<publisher>Nueva York : The American Risk and Insurance Association, 1964-</publisher>
</originInfo>
<identifier type="issn">0022-4367</identifier>
<identifier type="local">MAP20077000727</identifier>
<part>
<text>03/09/2018 Volumen 85 Número 3 - septiembre 2018 , p. 843-867</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">180920</recordCreationDate>
<recordChangeDate encoding="iso8601">20181107170630.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20180027314</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>