In traditional portfolio theory, risk management is limited to the choice of the relative weights of the riskless asset … and a diversified basket of risky securities, respectively. Yet in industry, risk management represents a central aspect … increased importance of risk management and describe three major challenges to be met by the risk manager. First, we derive a …

estimates imply. We propose a method for determining complete tail-correlation matrices based on Value-at-Risk (VaR) estimates … guarantee positive semidefi niteness, a property required for valid risk aggregation and Markowitz-type portfolio optimization …