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Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates

Puccetti, Giovanni; Wang, Bin; Wang, Ruodu - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 821-828

Persistent link: https://www.econbiz.de/10010227817

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Risk concentration and the mean-expected shortfall criterion

Han, Xia; Wang, Bin; Wang, Ruodu; Wu, Qinyu - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 819-846

Persistent link: https://www.econbiz.de/10014565286

Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures

Embrechts, Paul - 2015

Research related to aggregation, robustness, and model uncertainty of regulatory risk measures, for instance, Value-at-Risk (VaR) and Expected Shortfall (ES), is of fundamental importance within quantitative risk management. In risk aggregation, marginal risks and their dependence structure are...

Persistent link: https://www.econbiz.de/10013029101

CreditRisk+ model with dependent risk factors

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: North American actuarial journal 19 (2015) 1, pp. 24-40

Persistent link: https://www.econbiz.de/10011420714

Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities

Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10009730805

Risk aggregation with dependence uncertainty

Bernhard, Carole; Jiang, Xiao; Wang, Ruodu - In: Insurance / Mathematics & economics 54 (2014), pp. 93-108

Persistent link: https://www.econbiz.de/10010259666

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

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...

Persistent link: https://www.econbiz.de/10010338097

Robustness in the optimization of risk measures

Embrechts, Paul; Schied, Alexander; Wang, Ruodu - In: Operations research 70 (2022) 1, pp. 95-110

Persistent link: https://www.econbiz.de/10012820643

Distributional transforms, probability distortions, and their applications

Liu, Peng; Schied, Alexander; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 4, pp. 1490-1512

Persistent link: https://www.econbiz.de/10012796660