We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses.

Aggregating risk capital, with an application to operational risk / P. Embrechts, G. Puccetti. - In: THE GENEVA RISK AND INSURANCE REVIEW. - ISSN 1554-964X. - 31:2(2006), pp. 71-90. [10.1007/s10713-006-0556-6]

Aggregating risk capital, with an application to operational risk

G. Puccetti
2006

Abstract

We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses.
risk aggregation; dependency bounds; operational risk; mass transportation duality theorem; global optimization
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
Settore MAT/06 - Probabilita' e Statistica Matematica
2006
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/422452
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