Based on a novel extension of classical Hoeffding-Fréchet bounds, we provide an upper VaR bound for joint risk portfolios with fixed marginal distributions and positive dependence information. The positive dependence information can be assumed to hold in the tails, in some central part, or on a general subset of the domain of the distribution function of a risk portfolio. The newly provided VaR bound can be interpreted as a comonotonic VaR computed at a distorted confidence level and its quality is illustrated in a series of examples of practical interest.
@article{bwmeta1.element.doi-10_1515_demo-2016-0021,
author = {Giovanni Puccetti and Ludger R\"uschendorf and Dennis Manko},
title = {VaR bounds for joint portfolios with dependence constraints},
journal = {Dependence Modeling},
volume = {4},
year = {2016},
zbl = {06666940},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0021}
}
Giovanni Puccetti; Ludger Rüschendorf; Dennis Manko. VaR bounds for joint portfolios with dependence constraints. Dependence Modeling, Tome 4 (2016) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2016-0021/