APPLICATIONS OF MATHEMATICS STOCHASTIC MODELLING AND APPLIED PROBABILITY 33 Modelling Extremal Events for Insurance and Finance -- Modelling Extremal Events for Insurance and Finance -- Copyright -- Preface -- Table of Contents -- Reader Guidelines -- 1 Risk Theory -- 2 Fluctuations of Sums -- 3...

This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers - whether financial risk analysts, actuaries, regulators, or students of quantitative finance - with practical tools to solve real-world problems

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...