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Quantile of a Mixture with Application to Model Risk Assessment

Quantile of a Mixture with Application to Model Risk Assessment AbstractWe provide an explicit expression for the quantile of a mixture of two random variables. The result isuseful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence informationis available. This paper complements the work of [4]. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Quantile of a Mixture with Application to Model Risk Assessment

Dependence Modeling , Volume 3 (1): 1 – Oct 27, 2015

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Publisher
de Gruyter
Copyright
© 2015 Carole Bernard and Steven Vanduffel
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2015-0012
Publisher site
See Article on Publisher Site

Abstract

AbstractWe provide an explicit expression for the quantile of a mixture of two random variables. The result isuseful for finding bounds on the Value-at-Risk of risky portfolios when only partial dependence informationis available. This paper complements the work of [4].

Journal

Dependence Modelingde Gruyter

Published: Oct 27, 2015

References