Worst VaR scenarios

By Paul Embrechts, Andrea Höing, Giovanni Puccetti. 2005

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Worst VaR scenarios with given marginals and measures of association (2009, methodology): “Other work related to the problem of Kolmogorov includes, without being exhaustive, Denuit et al. (1999), Nelsen et al. (2001, 2004), Dhaene et al. (2002), Nelsen andÚbeda Flores (2004), Denuit et al. (2005), Embrechts et al. (2005), Embrechts and Puccetti (2006) and Laeven (2009).”
Aggregating risk capital, with an application to operational risk (2006, methodology): “) typically present in the analysis of OR data, for which we refer to Frachot et al. (2004) and de Fontnouvelle et al.”
Copulas in Econometrics (2014, background): “The upper bound on F À1 Z ðaÞ in Equation 20 is known as the worst VaR of Z (see Embrechts et al. 2003, 2005).”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “techniques as explained in Embrechts et al. (2005) , one can construct models for (L1;L2;L3)”
Model uncertainty and VaR aggregation (2013, background): “In Embrechts et al. (2005), the bound (26) is given in a slightly more complicated form for any set of marginal distributions.”