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Overcoming Dimensional Dependence of Worst Case Scenarios and Maximum Loss
Company: PPE Research Center
Year Of Publication: 2007
Month Of Publication: March
Pages: 15
Download Count: 429
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 5-31-2007
Publisher: Administrator
Maximum Loss shows a peculiar kind of dimensional dependence: fora fixed portfolio and fixed probability of the admissibility domain, the inclusionof additional irrelevant risk factors increases Maximum Loss. For elliptical distributionswe propose a definition of Maximum Loss which we show to be free ofthis undesirable property. If we characterise the admissibility domain by its Mahalanobisradius instead of its probability mass, the inclusion of irrelevant risk factors,or of risk factors which are highly correlated to other risk factors, does not affectMaximum Loss.
Breuer, Thomas Sign in to follow this author
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