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On optimal portfolio diversification with respect to extreme risks

Mainik, Georg; Rüschendorf, Ludger - In: Finance and Stochastics 14 (2010) 4, pp. 593-623

Persistent link: https://www.econbiz.de/10008775836

Risk excess measures induced by hemi-metrics

Faugeras, Olivier; Rüschendorf, Ludger - 2018

Persistent link: https://www.econbiz.de/10013488890

On optimal allocation of risk vectors

Kiesel, Swen; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 167-175

Persistent link: https://www.econbiz.de/10008654261

An academic response to Basel 3.5

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

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

Reducing model risk via positive and negative dependence assumptions

Bignozzi, Valeria; Puccetti, Giovanni; Rüschendorf, Ludger - In: Insurance / Mathematics & economics 61 (2015), pp. 17-26

Persistent link: https://www.econbiz.de/10010515943

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119

How robust is the value-at-risk of credit risk portfolios?

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: The European journal of finance 23 (2017) 4/6, pp. 507-534

Persistent link: https://www.econbiz.de/10011736292

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

How Robust Is the Value-at-Risk of Credit Risk Portfolios?

Bernard, Carole - 2017

In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) of a portfolio of risky loans that can be justi ed given a certain amount of available information. Puccetti and Ruschendorf (2012a) and...

Persistent link: https://www.econbiz.de/10012972100