Sfoglia per Autore
Worst VaR scenarios
2005 P. Embrechts, A. Höing, G. Puccetti
Bounds for functions of dependent risks
2006 P. Embrechts, G. Puccetti
Bounds for functions of multivariate risks
2006 P. Embrechts, G. Puccetti
Aggregating risk capital, with an application to operational risk
2006 P. Embrechts, G. Puccetti
Aggregating operational risk across matrix structured loss data
2008 P. Embrechts, G. Puccetti
Bounds for the sum of dependent risks having overlapping marginals
2010 P. Embrechts, G. Puccetti
Multivariate comonotonicity
2010 G. Puccetti, M. Scarsini
Risk aggregation
2010 P. Embrechts, G. Puccetti
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
2011 P. Arbenz, P. Embrechts, G. Puccetti
Bounds for joint portfolios of dependent risks
2012 G. Puccetti, L. Rüschendorf
Computations of sharp bounds on the distribution of a function of dependent risks
2012 G. Puccetti, L. Rüschendorf
Advances in complete mixability
2012 G. Puccetti, B. Wang, R. Wang
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
2012 P. Arbenz, P. Embrechts, G. Puccetti
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
2013 G. Puccetti, B. Wang, R. Wang
Model uncertainty and VaR aggregation
2013 P. Embrechts, G. Puccetti, L. Rüschendorf
Sharp bounds for sums of dependent risks
2013 G. Puccetti, L. Rüschendorf
Sharp bounds on the expected shortfall for a sum of dependent random variables
2013 G. Puccetti
Bounds on total economic capital : the DNB case study
2014 K. Aas, G. Puccetti
An Academic Response to Basel 3.5
2014 P. Embrechts, G. Puccetti, L. Rüschendorf, R. Wang, A. Beleraj
Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
2014 G. Puccetti, L. Rüschendorf
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