Model Risk Management
portes grátis
Model Risk Management
Risk Bounds under Uncertainty
Vanduffel, Steven; Bernard, Carole; Rueschendorf, Ludger
Cambridge University Press
01/2024
345
Dura
Inglês
9781009367165
15 a 20 dias
Descrição não disponível.
Introduction; Part I. Risk Bounds for Portfolios Based on Marginal Information: 1. Risk bounds with known marginal distributions; 2. Rearrangement algorithm; 3. Dual bounds; 4. Asymptotic equivalence results; Part II. Additional Dependence Constraints: 5. Improved standard bounds; 6. VaR bounds with variance constraints; 7. Distributions specified on a subset; Part III. Additional Information on the Structure: 8. Additional information on functionals of the risk vector; 9. Partially specified risk factor models; 10. Models with a specified subgroup structure; Part IV. Risk Bounds Under Moment Information: 11. Bounds on VaR, TVaR, and RVaR under moment information; 12. Bounds for distortion risk measures under moment information; 13. Bounds for VaR, TVaR, and RVaR under unimodality constraints; 14. Moment bounds in neighborhood models; References; Index.
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Introduction; Part I. Risk Bounds for Portfolios Based on Marginal Information: 1. Risk bounds with known marginal distributions; 2. Rearrangement algorithm; 3. Dual bounds; 4. Asymptotic equivalence results; Part II. Additional Dependence Constraints: 5. Improved standard bounds; 6. VaR bounds with variance constraints; 7. Distributions specified on a subset; Part III. Additional Information on the Structure: 8. Additional information on functionals of the risk vector; 9. Partially specified risk factor models; 10. Models with a specified subgroup structure; Part IV. Risk Bounds Under Moment Information: 11. Bounds on VaR, TVaR, and RVaR under moment information; 12. Bounds for distortion risk measures under moment information; 13. Bounds for VaR, TVaR, and RVaR under unimodality constraints; 14. Moment bounds in neighborhood models; References; Index.
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