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| Using copulae to bound the Value-at-Risk for functions of dependent risks | |
 Abstract
The theory of copulae is known to provide a useful tool for modelling dependence in integrated Risk management
. In the present paper we review and extend some of the more recent results for finding distributional bounds for functions of dependent risks. As an example, the main emphasis is put on Value-at-Risk as a risk measure.
Authors:
Paul EMBRECHTS
& Andrea Höing & Alessandro Juri (2003)
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Using copulae to bound the Value-at-Risk for functions of dependent risks
http://ideas.repec.org/a/spr/finsto/v7y2003i2p145-167.html
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