Aggregation-robustness and model uncertainty of regulatory risk measures

DOI10.1007/s00780-015-0273-zzbMath1327.62326OpenAlexW3121963578MaRDI QIDQ889621

Paul Embrechts, Ruodu Wang, Bin Wang

Publication date: 9 November 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-015-0273-z

zbMATH Keywords

value-at-riskexpected shortfalldependence uncertaintyrisk aggregationBasel IIIaggregation-robustnessinhomogeneous portfolio

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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