Abstract Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and computational improvements to the Rearrangement...

The standard intensity-based approach for modeling defaults is generalized by making the deterministic term structure of the survival probability stochastic via a common jump process. The survival copula of the vector of default times is derived and it is shown to be explicit and of the...

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....

The purpose and novelty of this article is to investigate the extent to which artificial intelligence chatbot ChatGPT can grasp concepts from quantitative risk management. To this end, we enter a scholarly discussion with ChatGPT in the form of questions and answers, and analyze the responses....

The goal of this dissertation is to explore nested Archimedean copulas. In particular, efficient sampling algorithms, especially suited for large dimensions, are presented. As an application, a pricing model for collateralized debt obligations (CDOsʺ) is developed. Copulas are distribution...

After a brief overview of aspects of computational risk management, the implementation of the rearrangement algorithm in R is considered as an example from computational risk management practice. This algorithm is used to compute the largest quantile (worst value-at-risk) of the sum of the...

An asymptotic hypothesis test for value-at-risk subadditivity is introduced and studied. The test is derived based on an equivalent formulation of the value-at-risk subadditivity inequality in terms of the distribution of the underlying risks' sum. Its size is considered mathematically, and its...

This paper presents an intellectual exchange with ChatGPT, an artificial intelligence chatbot, about correlation pitfalls in risk management. The exchange takes place in the form of a conversation that provides ChatGPT with context. The purpose of this conversation is to evaluate ChatGPT's...