We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals with nonlinear loss function. The method has applications to any situation where marginals are provided, and bounds need to be determined on total portfolio risk....

Risk management has undergone a remarkable transformation over the past fifteen years, with most new methods having been designed for the concerns of large institutions operating in well-developed financial markets. This paper addresses a problem faced by smaller institutions operating in...

Introduction to enterprise risk management -- Risk taxonomy -- Risk measures -- Frequency-severity analysis -- Extreme value theory -- Copulas -- Stress testing -- Market risk models -- Short-term portfolio risk -- Economic scenario generators -- Interest rate risk -- Credit risk -- Liquidity...