Worst-Case Range Value-at-Risk with Partial Information-Reference-Cited by-同舟云学术

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Worst-Case Range Value-at-Risk with Partial Information

Published:2018-01 Issue:1 Volume:9 Page:190-218
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Li Lujun,Shao Hui,Wang Ruodu,Yang Jingping

Funder

Natural Sciences and Engineering Research Council of Canada

National Natural Science Foundation of China

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/17M1126138

Reference33 articles.

1. Risk aggregation with dependence uncertainty

2. Value-at-Risk Bounds With Variance Constraints

3. Risk bounds for factor models

4. How robust is the value-at-risk of credit risk portfolios?

5. A new approach to assessing model risk in high dimensions

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