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政大機構典藏 > 商學院 > 資訊管理學系 > 期刊論文 > Item 140.119/76007

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76007

Title:	Best possible upper bound on VaR for dependent portfolio risk
Authors:	Liu, Huimei;Chan, C.-H. 劉惠美
Contributors:	統計系
Keywords:	Bivariate;Copulas;Improved Bonferroni inequality;Lower bounds;Numerical results;Risk factors;Upper Bound;Value-at-risk;Distribution functions;Value engineering
Date:	2011-05
Issue Date:	2015-06-22 14:28:07 (UTC+8)
Abstract:	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.
Relation:	ICIC Express Letters, 5(5), 1795-1800
Data Type:	article
Appears in Collections:	[資訊管理學系] 期刊論文

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