Bounds on total economic capital: the DNB case study

DOI10.1007/S10687-014-0202-0zbMATH Open1314.91129OpenAlexW3125179638MaRDI QIDQ482086FDOQ482086

Authors Kjersti Aas, Giovanni Puccetti

Publication date 19 December 2014

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-014-0202-0

zbMATH Keywords

copulavalue-at-riskrisk aggregationmodel riskrearrangement algorithmtotal economic capital

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• scientific article; zbMATH DE number 6971099
• Value-at-risk bounds with two-sided dependence information
• Bounds for joint portfolios of dependent risks
• Using copulae to bound the value-at-risk for functions of dependent risks
• Bounds on the value-at-risk for the sum of possibly dependent risks

Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Advances in complete mixability
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
• Computation of sharp bounds on the distribution of a function of dependent risks
• Extremal dependence concepts
• Extreme VaR scenarios in higher dimensions
• Integrated risk modelling
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• On optimal portfolio diversification with respect to extreme risks
• Optimal claims with fixed payoff structure
• Portfolio diversification under local and moderate deviations from power laws
• Risk aggregation with dependence uncertainty
• Sharp bounds for sums of dependent risks
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• The complete mixability and convex minimization problems with monotone marginal densities

Cited in

(11)

• Current open questions in complete mixability
• A review on ambiguity in stochastic portfolio optimization
• Top-down approaches for integrated risk management: how accurate are they?
• An algorithm to approximate the optimal expected inner product of two vectors with given marginals
• Reduction of Value-at-Risk bounds via independence and variance information
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Rearrangement algorithm and maximum entropy
• Reducing model risk via positive and negative dependence assumptions
• Dependence uncertainty for aggregate risk: examples and simple bounds
• Algorithms for finding copulas minimizing convex functions of sums
• scientific article; zbMATH DE number 7387532 (Why is no real title available?)

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Bounds on total economic capital: the DNB case study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q482086)