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- W2901106594 abstract "Abstract Conditionally comonotonic risk vectors have been proved in [4] to yield worst case dependence structures maximizing the risk of the portfolio sum in partially specified risk factor models. In this paper we investigate the question how risk bounds depend on the specification of the pairwise copulas of the risk components X i with the systemic risk factor. As basic toolwe introduce a new ordering based on sign changes of the derivatives of copulas. This together with discretization by n-grids and the theory of supermodular transfers allows us to derive concrete ordering criteria for the maximal risks." @default.
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- W2901106594 date "2018-11-01" @default.
- W2901106594 modified "2023-10-16" @default.
- W2901106594 title "Ordering risk bounds in factor models" @default.
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- W2901106594 doi "https://doi.org/10.1515/demo-2018-0015" @default.
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