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

Lux, Thibaut; Papapantoleon, Antonis

doi:10.48550/arxiv.1610.09734

2016

DOI: 10.48550/arxiv.1610.09734

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

Thibaut Lux¹,

Antonis Papapantoleon²

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

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