SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Bounds for Functions of Dependent Risks
7 references·16 citing·29 second hop
Bounds for Functions of Dependent Risks (2006)Bounds for Functions of Dependent RisksThe Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)The Modelling of Operational …Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Using copulae to bound the Va…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…An Introduction to Copulas (1999)An Introduction to CopulasMass Transportation Problems (1998)Mass Transportation ProblemsRandom variables, joint distribution functions, and copulas (1973)Random variables, joint distr…Robust distortion risk measures (2023)Robust distortion risk measur…Joint Mixability (2016)Joint MixabilityValue‐at‐Risk Bounds With Variance Constraints (2015)Value‐at‐Risk Bounds With Var…Extremal Dependence Concepts (2015)Extremal Dependence ConceptsSharp Bounds for Sums of Dependent Risks (2013)Sharp Bounds for Sums of Depe…Risk aggregation with dependence uncertainty (2013)Risk aggregation with depende…Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities (2013)Bounds for the sum of depende…The complete mixability and convex minimization problems with monotone marginal densities (2011)The complete mixability and c…Computation of sharp bounds on the distribution of a function of dependent risks (2011)Computation of sharp bounds o…Efficient simulation of tail probabilities of sums of correlated lognormals (2009)Efficient simulation of tail …Asymptotics of sums of lognormal random variables with Gaussian copula (2008)Asymptotics of sums of lognor…Absolutely Continuous Copulas with Given Diagonal Sections (2008)Absolutely Continuous Copulas…Tail asymptotics for the sum of two heavy-tailed dependent risks (2006)Tail asymptotics for the sum …Aggregating risk capital, with an application to operational risk (2006)Aggregating risk capital, wit…Worst VaR scenarios (2005)Worst VaR scenariosBounds for functions of multivariate risks (2005)Bounds for functions of multi…Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Infinite-mean models and the LDA for operational risk (2006)Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)An Academic Response to Basel 3.5 (2014)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Basel Committee On Banking Supervision (2010)Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)Copula Theory and Its Applications (2010)An Axiomatic Foundation for the Expected Shortfall (2019)Modelling Dependence with Copulas and Applications to Risk Management (2003)Testing the Gaussian copula hypothesis for financial assets dependences (2003)The Advent of Copulas in Finance (2009)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)On Nonparametric Measures of Dependence for Random Variables (1981)Copulas and Markov processes (1992)Measures of risk (2002)The concept of comonotonicity in actuarial science and finance: applications (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Ambiguity in portfolio selection (2007)Scenario tree modeling for multistage stochastic programs (2007)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1973Random variables, joint distribution functions, and copulas680 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1998Mass Transportation Problems556 cited
  • 2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
  • 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited

Cited by

  • 2011The complete mixability and convex minimization problems with monotone marginal densities141 cited
  • 2013Risk aggregation with dependence uncertainty133 cited
  • 2013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities128 cited
  • 2011Computation of sharp bounds on the distribution of a function of dependent risks123 cited
  • 2005Bounds for functions of multivariate risks116 cited
  • 2008Asymptotics of sums of lognormal random variables with Gaussian copula110 cited
  • 2015Extremal Dependence Concepts108 cited
  • 2015Value‐at‐Risk Bounds With Variance Constraints

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

102 cited
  • 2006Tail asymptotics for the sum of two heavy-tailed dependent risks79 cited
  • 2016Joint Mixability71 cited
  • 2013Sharp Bounds for Sums of Dependent Risks69 cited
  • 2006Aggregating risk capital, with an application to operational risk65 cited
  • 2005Worst VaR scenarios57 cited
  • 2009Efficient simulation of tail probabilities of sums of correlated lognormals52 cited
  • 2023Robust distortion risk measures50 cited
  • 2008Absolutely Continuous Copulas with Given Diagonal Sections49 cited