Small perturbations with large effects on value-at-risk
Discussiones Mathematicae Probability and Statistics, Tome 33 (2013) no. 1-2, p. 151.

Voir la notice de l'article dans European Digital Mathematics Library

We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.
Classification : 91B30, 60E05, 91G40
Mots-clés : Gaussian perturbation, value-at-risk, delta-normal model 
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Manuel L. Esquível; Luís Dimas; João Tiago Mexia; Philippe Didier. Small perturbations with large effects on value-at-risk. Discussiones Mathematicae Probability and Statistics, Tome 33 (2013) no. 1-2, p. 151. https://geodesic-test.mathdoc.fr/item/DMPS_2013__33_1-2_271056/