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Risk Aggregation · Study

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ChapterRisk Aggregation

Paul Embrechts A2010

OA

Chaptergreen2010

Risk Aggregation

Paul Embrechts A · Giovanni Puccetti

32 citations·0/0 files stored·Lecture notes in statistics

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 2003Monte Carlo Methods in Financial Engineering 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2007Stochastic Simulation 2004Stochastic Finance 2010Copula Theory and Its Applications 2003Using copulae to bound the Value-at-Risk for functions of dependent risks 2006Infinite-mean models and the LDA for operational risk

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2013Model uncertainty and VaR aggregation 2019Sharing the Value-at-Risk Under Distributional Ambiguity 2018Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models

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2009Bounds for the sum of dependent risks having overlapping marginalsarticle · 7 shared references 2013Risk aggregation with dependence uncertaintyarticle · 6 shared references 2013Model uncertainty and VaR aggregationarticle · 5 shared references 2005Worst VaR scenariosarticle · 5 shared references 2012Four theorems and a financial crisisarticle · 5 shared references 2007Extreme VaR scenarios in higher dimensionsarticle · 5 shared references

Details

Year2010

Typechapter

Published2010-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations32

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/978-3-642-12465-5_5

openalex_workW4247630907

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