Ordering risk bounds in factor models
Abstract: Abstract: Conditionally comonotonic risk vectors have been proved in [4] to yield worst case dependence structures maximizing the risk of the portfolio sum in partially specified risk factor models. In this paper we investigate the question how risk bounds depend on the specification of the pairwise copulas of the risk components Xi with the systemic risk factor. As basic tool we introduce a new ordering based on sign changes of the derivatives of copulas. This together with discretization by n-grids and the theory of supermodular
transfers allows us to derive concrete ordering criteria for the maximal risks
- Standort
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Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
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Online-Ressource
- Sprache
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Englisch
- Anmerkungen
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Dependence modeling. - 6, 1 (2018) , 259-287, ISSN: 2300-2298
- Ereignis
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Veröffentlichung
- (wo)
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Freiburg
- (wer)
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Universität
- (wann)
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2022
- Urheber
- DOI
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10.1515/demo-2018-0015
- URN
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urn:nbn:de:bsz:25-freidok-2297581
- Rechteinformation
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
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25.03.2025, 13:50 MEZ
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Beteiligte
- Ansari, Jonathan
- Rüschendorf, Ludger
- Universität
Entstanden
- 2022
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