Giovanni Puccetti on The Rearrangement Algorithm: a new tool for computing bounds on risk measures.

Speaker:  Giovanni Puccetti - Università di Firenze
  Monday, January 28, 2013 at 1:00 PM Aula E, Palazzo di Economia

We introduce a numerical algorithm which allows for the computation of sharp upper and lower bounds on the Value-at-Risk/Expected Shortfall of high-dimensional risk portfolios having fixed marginal distributions.

These bounds can be interpreted as a measure of model uncertainty induced by possible dependence scenarios. 

 

Documents
Title Format  (Language, Size, Publication date)
paper  pdfpdf (it, 504 KB, 12/10/12)

Programme Director
Giacomo Scandolo

Publication date
October 9, 2012

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