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| 題名 | Best possible upper bound on VaR for dependent portfolio risk |
| 作者 | Liu, Huimei;Chan, C.-H. 劉惠美 |
| 貢獻者 | 統計系 |
| 關鍵詞 | Bivariate; Copulas; Improved Bonferroni inequality; Lower bounds; Numerical results; Risk factors; Upper Bound; Value-at-risk; Distribution functions; Value engineering |
| 日期 | 2011-05 |
| 上傳時間 | 22-六月-2015 14:28:07 (UTC+8) |
| 摘要 | In this paper, we find a best-possible upper bound on Value-at-Risk (VaR) of a risk portfolio with n dependent risk factors. First, we propose an improved lower bound of a risk portfolio. Second, based on the improved lower bound of distribution function, we propose a possible upper bound on VaR of a risk portfolio. We also show that the proposed upper bound is better than that provided by other researchers when more information such as bivariate copulas of any two risk factors are given. Finally, two examples compared with other possible upper are given. The numerical results show that our proposed upper bound is smaller than the others. © ICIC International 2011. |
| 關聯 | ICIC Express Letters, 5(5), 1795-1800 |
| 資料類型 | article |
| dc.contributor | 統計系 | |
| dc.creator (作者) | Liu, Huimei;Chan, C.-H. | |
| dc.creator (作者) | 劉惠美 | zh_TW |
| dc.date (日期) | 2011-05 | |
| dc.date.accessioned | 22-六月-2015 14:28:07 (UTC+8) | - |
| dc.date.available | 22-六月-2015 14:28:07 (UTC+8) | - |
| dc.date.issued (上傳時間) | 22-六月-2015 14:28:07 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/76007 | - |
| dc.description.abstract (摘要) | In this paper, we find a best-possible upper bound on Value-at-Risk (VaR) of a risk portfolio with n dependent risk factors. First, we propose an improved lower bound of a risk portfolio. Second, based on the improved lower bound of distribution function, we propose a possible upper bound on VaR of a risk portfolio. We also show that the proposed upper bound is better than that provided by other researchers when more information such as bivariate copulas of any two risk factors are given. Finally, two examples compared with other possible upper are given. The numerical results show that our proposed upper bound is smaller than the others. © ICIC International 2011. | |
| dc.format.extent | 176 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | ICIC Express Letters, 5(5), 1795-1800 | |
| dc.subject (關鍵詞) | Bivariate; Copulas; Improved Bonferroni inequality; Lower bounds; Numerical results; Risk factors; Upper Bound; Value-at-risk; Distribution functions; Value engineering | |
| dc.title (題名) | Best possible upper bound on VaR for dependent portfolio risk | |
| dc.type (資料類型) | article | en |