VaR bounds in models with partial dependence information on subgroups
We derive improved estimates for the model risk of risk portfolios when additional to the marginals some partial dependence information is available.We consider models which are split into k subgroups and consider various classes of dependence information either within the subgroups or between the s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-01-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2017-0004 |