Thibaut Lux

Vrije Universiteit Brussels

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

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Scholarly Papers (1)

Value-at-Risk Bounds with Two-Sided Dependence Information

Number of pages: 38 Posted: 14 Dec 2017
Thibaut Lux and Ludger Rüschendorf
Vrije Universiteit Brussels and University of Freiburg
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model uncertainty, copulas, duality theory, value-at-risk

Value‐At‐Risk Bounds with Two‐Sided Dependence Information

Mathematical Finance, Vol. 29, Issue 3, pp. 967-1000, 2019
Number of pages: 34 Posted: 28 May 2020
Thibaut Lux and Ludger Rüschendorf
Vrije Universiteit Brussels and University of Freiburg
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copulas, duality, Fréchet–Hoeffding bounds, model uncertainty, optimal transport, Value‐at‐Risk, 91B30 (primary), 62E17, 60E15