Ordering risk bounds in factor models
Conditionally comonotonic risk vectors have been proved in [4] to yield worst case dependence structures maximizing the risk of the portfolio sum in partially specified risk factor models. In this paper we investigate the question how risk bounds depend on the specification of the pairwise copulas o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2018-11-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2018-0015 |