VaR Bounds for Joint Portfolios with Dependence Constraints

16 Pages Posted: 13 Jun 2016

See all articles by Giovanni Puccetti

Giovanni Puccetti

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)

Ludger Rüschendorf

University of Freiburg

Dennis Manko

University of Freiburg - Institut für Mathematische Stochastik

Date Written: June 8, 2016

Abstract

Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality is illustrated in a series of examples of practical interest.

Keywords: Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk

Suggested Citation

Puccetti, Giovanni and Rüschendorf, Ludger and Manko, Dennis, VaR Bounds for Joint Portfolios with Dependence Constraints (June 8, 2016). Available at SSRN: https://ssrn.com/abstract=2794873 or http://dx.doi.org/10.2139/ssrn.2794873

Giovanni Puccetti (Contact Author)

University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) ( email )

Via Conservatorio, 7
Milan, 20122
Italy

Ludger Rüschendorf

University of Freiburg ( email )

Fahnenbergplatz
Freiburg, D-79085
Germany

Dennis Manko

University of Freiburg - Institut für Mathematische Stochastik ( email )

D-79104, Freiburg
Germany

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
91
Abstract Views
409
rank
304,662
PlumX Metrics