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Worst VaR scenarios with given marginals and measures of association |
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| Authors: | Rob Kaas Roger B Nelsen |
| Institution: | a University of Amsterdam, Department of Quantitative Economics, Roetersstraat 11, 1018 WB Amsterdam, The Netherlands b Tilburg University and CentER, Department of Econometrics and Operations Research, P.O. Box 90153, 5000 LE Tilburg, The Netherlands c Lewis & Clark College, Department of Mathematical Sciences, Portland, OR 97219, USA |
| Abstract: | This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is available. The same problem for the Tail-Value-at-Risk is also briefly discussed. |
| Keywords: | D81 G10 G20 |
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