Quantile of a Mixture with Application to Model Risk Assessment

Carole Bernard 1  and Steven Vanduffel 2
  • 1 Department of Accounting, Law and Finance at the Grenoble Ecole de Management
  • 2 Department of Economics and Political Sciences at Vrije Universiteit Brussel (VUB)


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

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