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.
Title | Format (Language, Size, Publication date) |
---|---|
paper |
![]() |
via Cantarane, 24
37129 Verona
VAT number01541040232
Italian Fiscal Code93009870234
© 2025 | Verona University
******** CSS e script comuni siti DOL - frase 9957 ********