Daniel Small

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

  • University of Freiburg

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Reduction of Value-at-Risk Bounds via Independence and Variance Information

Forthcoming in Scandinavian Actuarial Journal
Number of pages: 18 Posted: 27 Mar 2015 Last Revised: 11 Nov 2015
Giovanni Puccetti, Ludger Rüschendorf, Daniel Small and Steven Vanduffel
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg, University of Freiburg and Vrije Universiteit Brussel (VUB)
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Abstract:

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Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall