In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) of a portfolio of risky loans that can be justi ed given a certain amount of available information. Puccetti and Ruschendorf (2012a) and...

Existing risk capital allocation methods, such as the Euler rule, work under the explicit assumption that portfolios are formed as linear combinations of random loss/profit variables, with the firm being able to choose the portfolio weights. This assumption is unrealistic in an insurance...

Recent literature deals with bounds on the Value-at-Risk (VaR) of risky portfolios when only the marginal distributions of the components are known. In this paper we study Value-at-Risk bounds when the variance of the portfolio sum is also known, a situation that is of considerable interest in...