Thibaut Lux

activity

20162022

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Showing 2016Show all

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q-fin.RM2016

Model-free bounds on Value-at-Risk using extreme value information and statistical distances

Thibaut Lux, Antonis Papapantoleon

We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $φ (X)$ where $φ$ is an aggregation function and $X = (X_{1}, \dots, X_{d})$ is a ra…

math.PR2016

Improved Fréchet $-$ Hoeffding bounds on $d$ -copulas and applications in model-free finance

Thibaut Lux, Antonis Papapantoleon

We derive upper and lower bounds on the expectation of $f (S)$ under dependence uncertainty, i.e. when the marginal distributions of the random vector $\mathbf{S}=(S_1,\dot…

Model-free bounds on Value-at-Risk using extreme value information and statistical distances

Improved Fréchet−Hoeffding bounds on d-copulas and applications in model-free finance

Improved Fréchet $-$ Hoeffding bounds on $d$ -copulas and applications in model-free finance