scholarly journals Range Value-at-Risk bounds for unimodal distributions under partial information

2020 ◽  
Vol 94 ◽  
pp. 9-24
Author(s):  
Carole Bernard ◽  
Rodrigue Kazzi ◽  
Steven Vanduffel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Partial Information ◽  
Risk Bounds

Value-at-Risk Bounds With Variance Constraints

2015 ◽  
Vol 84 (3) ◽  
pp. 923-959 ◽  
Author(s):  
Carole Bernard ◽  
Ludger Rüschendorf ◽  
Steven Vanduffel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Bounds

Reduction of Value-at-Risk bounds via independence and variance information

2015 ◽  
pp. 1-22 ◽  
Author(s):  
Giovanni Puccetti ◽  
Ludger Rüschendorf ◽  
Daniel Small ◽  
Steven Vanduffel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Bounds

Value-at-Risk bounds with two-sided dependence information

2018 ◽  
Vol 29 (3) ◽  
pp. 967-1000
Author(s):  
Thibaut Lux ◽  
Ludger Rüschendorf
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Bounds

Value-at-Risk Bounds with Variance Constraints

2013 ◽  
Author(s):  
Carole Bernard ◽  
Ludger RRschendorf ◽  
Steven Vanduffel
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Bounds

Portfolio Value at Risk Bounds

2002 ◽  
Vol 9 (5) ◽  
pp. 629-641 ◽  
Author(s):  
Elisa Luciano ◽  
Marina Marena
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Risk Bounds

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

2017 ◽  
Author(s):  
Lujun Li ◽  
Hui Shao ◽  
Ruodu Wang ◽  
Jingping Yang
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Partial Information ◽  
Worst Case
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