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

被引：192

作者：

Embrechts, P ^{[1
]}

Hönig, A ^{[1
]}

Juri, A ^{[1
]}

机构：

[1] Swiss Fed Inst Technol, Dept Math, CH-8092 Zurich, Switzerland

来源：

FINANCE AND STOCHASTICS | 2003年 / 7卷 / 02期

关键词：

comonotonicity; copulae; dependent risks; Frechet bounds; orthant dependence; risk management; Value-at-Risk;

D O I：

10.1007/s007800200085

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：145 / 167

页数：23

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