Value-at-Risk bounds for aggregated risks have been derived in the literature in settings where besides the marginal distributions of the individual risk factors one-sided bounds for the joint distribution respectively the copula of the risks are available. In applications it turns out that...

Dybvig ( 1988a , 1988b ) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution (“cost-efficient payoff”). In the presence of ambiguity, the distribution of a payoff is, however, no longer known with certainty. 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...