The quantification of diversification benefit plays a critical role in quantitative risk models, especially within the context of regulatory and economic capital. However, the complexity of today's risk landscape, together with the associated uncertainty surrounding the modeling of dependencies...

The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a quantifiable reduction of risk concentration a challenging...