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• W3029121877 abstract "For the class of (partially specified) internal risk factor models we establish strongly simplified supermodular ordering results in comparison to the case of general risk factor models. This allows us to derive meaningful and improved risk bounds for the joint portfolio in risk factor models with dependence information given by constrained specification sets for the copulas of the risk components and the systemic risk factor. The proof of our main comparison result is not standard. It is based on grid copula approximation of upper products of copulas and on the theory of mass transfers. An application to real market data shows considerable improvement over the standard method." @default.
• W3029121877 created "2020-06-05" @default.
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• W3029121877 date "2020-05-19" @default.
• W3029121877 modified "2023-10-16" @default.
• W3029121877 title "Upper risk bounds in internal factor models with constrained specification sets" @default.
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• W3029121877 doi "https://doi.org/10.1186/s41546-020-00045-y" @default.
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