Aggregating risk capital, with an application to operational risk

By Paul Embrechts. 2006

71 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c736c398495096d72b6ec281e84f23e7164dea0e

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. Johana Nešlehová
3. Ludger Rüschendorf
4. V. Chavez‐Demoulin
5. Claudia Czado
6. Marius Hofert
7. Fabrizio Durante
8. Andrew J. Patton

In Management Science and Operations Research

1. Paul Embrechts
2. Ludger Rüschendorf
3. Johana Nešlehová
4. V. Chavez‐Demoulin
5. Claudia Czado
6. Fabrizio Durante
7. Andrew J. Patton
8. Aristidis K. Nikoloulopoulos

Citations in the corpus

• Model uncertainty and VaR aggregation (2013, methodology): “5) and goes back to a conjecture made in Embrechts and Puccetti (2006b). We refer to the former paper and references therein for mathematical details in addition to the following points:”
• Quantitative models for operational risk: Extremes, dependence and aggregation (2006, background): “the results from Embrechts and Puccetti (2006a) and compare and contrast these bounds”
• Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “This is in line with the concept of subexponentiality11, referred to in Embrechts and Puccetti (2006) as the “one loss causes ruin problem”.”
• Copulas: A Personal View (2009, unknown): “An application of this theory to operational risk modeling is given in Embrechts and Puccetti [17].”