Embrechts, Paul, Andrea Höing, and Alessandro Juri, "Using Copulae to Bound the Value-at-Risk for Functions of Dependent Risks", Finance and Stochastics, Vol. 7, No. 2, (April 2003), 145-167.

Abstract: The theory of copulae is known to provide a useful tool for modelling dependence in integrated risk management. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on Value-at-Risk as a risk measure.

JEL Classification: G10.

AMS Classification: 90A09, 60E05, 60E15.

Keywords: comonotonicity, copula, dependent risks, Fréchet bounds, orthant dependence, risk management, Value-at-Risk.

Books Referenced in this paper:  (what is this?)

Download paper (209K PDF) 23 pages

[