Bounds on total economic capital: the DNB case study

DOI10.1007/s10687-014-0202-0zbMath1314.91129OpenAlexW3125179638MaRDI QIDQ482086

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-riskmodel riskrisk aggregationrearrangement algorithmtotal economic capital

Mathematics Subject Classification ID

Related Items (10)

Reduction of Value-at-Risk bounds via independence and variance information ⋮ Aggregation-robustness and model uncertainty of regulatory risk measures ⋮ Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds ⋮ Unnamed Item ⋮ Rearrangement algorithm and maximum entropy ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Current open questions in complete mixability ⋮ An algorithm to approximate the optimal expected inner product of two vectors with given marginals ⋮ Algorithms for Finding Copulas Minimizing Convex Functions of Sums ⋮ Reducing model risk via positive and negative dependence assumptions

Uses Software

• QRM

Cites Work

• Unnamed Item
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• On optimal portfolio diversification with respect to extreme risks
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Portfolio diversification under local and moderate deviations from power laws
• Extremal dependence concepts
• Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
• Sharp bounds on the expected shortfall for a sum of dependent random variables
• Risk aggregation with dependence uncertainty
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Computation of sharp bounds on the distribution of a function of dependent risks
• Extreme VaR scenarios in higher dimensions
• Advances in Complete Mixability
• Integrated risk modelling
• Sharp Bounds for Sums of Dependent Risks
• Optimal claims with fixed payoff structure
• Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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