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...

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...

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...

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...

Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...

Abstract In this paper, we survey, extend and improve several bounds for the distribution function and the tail probabilities of portfolios, where the dependence structure within the portfolio is completely unknown or only partially known. We present various methods for obtaining bounds based on...

We study a synchronization problem with multiple instances. First, we show that the problem we consider can be formulated as the problem of finding an intra-column rearrangement for multiple matrices (which reflect problem instances) such that the row sums across the various matrices show...

We show that the rearrangement algorithm introduced in Puccetti and Rüschendorf (2012) to compute distributional bounds can be used also to compute sharp lower and upper bounds on the expected value of a supermodular function of d random variables having fixed marginal distributions. Compared...