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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

Model uncertainty and VaR aggregation

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764

Persistent link: https://www.econbiz.de/10009776377

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013

Aggregating risk capital, with an application to operational risk

Embrechts, Paul; Puccetti, Giovanni - In: The Geneva risk and insurance review 31 (2006) 2, pp. 71-90

Persistent link: https://www.econbiz.de/10003398777

Linear correlation and EVT : properties and caveats

Embrechts, Paul - In: Journal of financial econometrics : official journal of … 7 (2009) 1, pp. 30-39

Persistent link: https://www.econbiz.de/10003825739

Copulas : a personal view

Embrechts, Paul - In: The journal of risk and insurance : the journal of the … 76 (2009) 3, pp. 639-650

Persistent link: https://www.econbiz.de/10003877764

The walls came tumbling down

Embrechts, Paul - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 2, pp. 211-213

Persistent link: https://www.econbiz.de/10013342098

A Darwinian view on internal models

Embrechts, Paul - In: Journal of risk 20 (2017/2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011847418

Reducing model risk via positive and negative dependence assumptions

Bignozzi, Valeria; Puccetti, Giovanni; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 61 (2015), pp. 17-26

Persistent link: https://www.econbiz.de/10010515943

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119