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...

The notion of statistical arbitrage introduced in Bondarenko (2003) is generalized to statistical G-arbitrage corresponding to trading strategies which yield positive gains on average in a class of scenarios described by a σ-algebra G. This notion contains classical arbitrage as a special case....

Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined on products of real Banach spaces as risk domains. This generality includes in particular the classical case of L p risks but also allows to describe the influence of dependence...