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....