Aggregating risk capital, with an application to operational risk

We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses. Copyright Springer Science + Business Media, LLC 2006

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Year of publication:	2006
Authors:	Embrechts, Paul ; Puccetti, Giovanni
Published in:	The Geneva Papers on Risk and Insurance Theory. - Springer, ISSN 0926-4957. - Vol. 31.2006, 2, p. 71-90
Publisher:	Springer
Subject:	Risk aggregation \| Dependency bounds \| Operational risk \| Mass transportation duality theorem \| Global optimization

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005684834