Bounds for joint portfolios of dependent risks
By Ludger Rüschendorf. 2012
58 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/72b9a05ef7a1e8817b9f2c46a5d46d9e8950252c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Ruodu Wang
- Paul Embrechts
- Ludger Rüschendorf
- Antonela Beleraj
- Claudia Czado
- Kjersti Aas
- Andrew J. Patton
- Marius Hofert
In Management Science and Operations Research
- Ludger Rüschendorf
- Paul Embrechts
- Ruodu Wang
- Antonela Beleraj
- Andrew J. Patton
- Claudia Czado
- Fabrizio Durante
- H. Manner
Citations in the corpus
- An Academic Response to Basel 3.5 (2014, methodology): “It is stated in Puccetti and Rüschendorf (2013), in a slightly modified form and under a more general condition of complete mixability.”
- Model uncertainty and VaR aggregation (2013, methodology): “While the algorithm described in Puccetti and Rüschendorf (2012c) requires a time-consuming numeric inversion for the computation of VaR bounds, our modified version does not need any inversion and also decreases the number of iterations needed to obtain the final estimate by introducing a new…”
- Value-at-Risk Bounds with Variance Constraints (2015, unknown): “The idea of this result can be found in Theorems 2.3 and 2.5 of Puccetti and Rüschendorf (2012b).”