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.
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Manuscript received: May 2001; final version received: June 2002
The authors would like to thank two anonymous referees for helpful comments on an earlier version of the paper. They also thank Pablo Parrilo (ETHZ) and Stephen Boyd (Stanford) for several discussions on the use of convex programming in similar problems, and Francesco Audrino (ETHZ) for discussions on the numerics.
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Embrechts, P., Höing, A. & Juri, A. Using copulae to bound the Value-at-Risk for functions of dependent risks. Finance Stochast 7, 145–167 (2003). https://doi.org/10.1007/s007800200085
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DOI: https://doi.org/10.1007/s007800200085