Model uncertainty and VaR aggregation

By Paul Embrechts, Ludger Rüschendorf. 2013

300 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/903e22dda17d819f77aac33b8cb393d55c927590

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Paul Embrechts
2. Ruodu Wang
3. Marius Hofert
4. Ludger Rüschendorf
5. Carole Bernard
6. Xiao Jiang
7. Antonela Beleraj
8. Andrew J. Patton

In Global and Planetary Change

1. Carole Bernard
2. Ruodu Wang
3. Xiao Jiang
4. Paul Embrechts
5. Marius Hofert
6. Ludger Rüschendorf

In Statistics and Probability

1. Marius Hofert
2. Ruodu Wang
3. Paul Embrechts
4. Carole Bernard
5. Xiao Jiang
6. Ludger Rüschendorf
7. Aaditya Ramdas
8. Toshinao Yoshiba

Citations in the corpus

• Value-at-Risk Bounds with Variance Constraints (2015, unknown): “…of partial dependence information appears to be challenging, as there are few theoretical results available in the literature; see, however, Rüschendorf (1991), Embrechts and Puccetti (2009) and Embrechts et al. (2013) for results when some of the higher dimensional distributions are known.”
• Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “Besides the above textbook reference, questions (Q1)–(Q3) are discussed in detail in Embrechts et al. (2013).”
• Risk aggregation with dependence uncertainty (2014, methodology): “The Rearrangement Algorithm (RA) introduced in Puccetti and Rüschendorf (2012) and also used in Embrechts et al. (2013) and Puccetti (2013) is a quick algorithm to provide discrete numerical approximations for the optimal structure with respect to minimal convex order.”
• Robust distortion risk measures (2022, unknown): “The first studies risk bounds for the aggregate portfolio loss 𝑆 = 𝑋 1 + ⋯ + 𝑋 𝑛 given that the components have known marginal distributions but unknown interdependence; see, among others, Denuit et al. (1999), Embrechts and Puccetti (2006), Wang and Wang (2011), and Embrechts et al. (2013).”
• An Academic Response to Basel 3.5 (2014, background): “(3.13) The assumptions of the positive density and the continuity of the marginals in Proposition 3.4 were later removed in Wang and Wang (2013).”
• A New Approach to Assessing Model Risk in High Dimensions (2015, unknown): “The bounds derived by Embrechts et al. (2013) are wide, as they neglect all information on the interaction among the individual risks.”