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Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

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...

Persistent link: https://www.econbiz.de/10010338097

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Quantile-based risk sharing

Embrechts, Paul; Liu, Haiyan; Wang, Ruodu - In: Operations research 66 (2018) 4, pp. 936-949

Persistent link: https://www.econbiz.de/10011916624

Modeling operational risk depending on covariates : an empirical investigation

Embrechts, Paul; Mizgier, Kamil J.; Chen, Xian - In: The journal of operational risk 13 (2018) 3, pp. 17-46

Persistent link: https://www.econbiz.de/10011962172

Smooth extremal models in finance and insurance

Chavez-Demoulin, V.; Embrechts, Paul - In: The journal of risk and insurance : the journal of the … 71 (2004) 2, pp. 183-199

Persistent link: https://www.econbiz.de/10002086148

Model uncertainty and VaR aggregation

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764

Persistent link: https://www.econbiz.de/10009776377

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10001762730

Extreme-quantile tracking for financial time series

Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52

Persistent link: https://www.econbiz.de/10010473421

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013

Aggregating risk capital, with an application to operational risk

Embrechts, Paul; Puccetti, Giovanni - In: The Geneva risk and insurance review 31 (2006) 2, pp. 71-90

Persistent link: https://www.econbiz.de/10003398777