Extreme VaR scenarios in higher dimensions
نویسندگان
چکیده
منابع مشابه
Extreme VaR scenarios in higher dimensions
The dependence scenario yielding the worst possible Value-at-Risk at a given level α for X1 + · · · + Xn is known for n = 2. In this paper we investigate this problem for higher dimensions. We provide a geometric interpretation highlighting the shape of the dependence structures which imply the worst possible scenario. For a portfolio (X1, . . . ,Xn) with given uniform marginals, we give an ana...
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ژورنال
عنوان ژورنال: Extremes
سال: 2007
ISSN: 1386-1999,1572-915X
DOI: 10.1007/s10687-006-0027-6