The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with … immediately find that it defines a norm and therefore provides a homogeneous and sub-additive tool for risk aggregation. Hence …

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

determine the adequate aggregation level of the mutually exclusive alternatives in the choice set. The specification test …

show how lotteries as in Rogerson (1988) can again be used to convexify consumption sets, and aggregation over individual …