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Measuring Portfolio Risk Under Partial Dependence Information
Year Of Publication: 2014
Month Of Publication: March
Resource Link: Click here to open
Pages: 30
Download Count: 0
View Count: 1550
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 4-11-2014
Publisher: Administrator
We motivate that replacing the knowledge of the marginal distributions by the knowledge of the mean of the portfolio sum does not result in significant loss of information, while making it possible to find explicit bounds if also higher-order moments as source of dependence information are available. Effectively, we propose a new and elementary derivation of bounds on various risk characteristics, including distribution functions and Value-at-Risk (VaR). Our results make it possible for supervisory authorities to assess the robustness of risk models used in practice and to identify issues of incomparability of risk models across different institutions.
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Bernard, Carole Sign in to follow this author
Denuit, Michel Sign in to follow this author
Vanduffel, Steven Sign in to follow this author
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