ETH-Zentrum
CH-8092 Zurich
Switzerland
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Swiss Federal Institute of Technology Zurich
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Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness
Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness, Arrow-Debreu equilibrium
Copula, Fréchet class, Model Uncertainty, Operational Risk, Positive Dependence, Rearrangement Algorithm, Risk Aggregation, Value-at-Risk, VaR-bounds.
asset-liability management, long-term insurance, valuation, insurance products, investments, models
robustness, Value-at-Risk, Expected Shortfall, optimization, financial regulation
bayesian analysis, Markov random field, financial time series, generalized pareto distribution, peaks-over-threshold, regime switching, statistics of extremes, value-at-risk
Pension funding gap, Demographic and societal challenges, Valuation of pension liabilities, Economic and regulatory capital models, Role of financial markets
Bayes risk, quantiles, Expected Shortfall, elicitability, entropic risk measures
Risk Sharing, Competitive Equilibrium, Belief Heterogeneity, Quantiles, Non-Convexity, Risk Measures
Value-at-Risk; Expected Shortfall; dependence uncertainty; risk aggregation; aggregation-robustness; inhomogeneous portfolio; Basel III
copulas, dependent risks, dependency bounds, Fréchet bounds
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Basel Committee, Internal Models, Model Risk, Quantitative Risk Management, Robustness, Standard Models
File name: SSRN-id3247538.pdf Size: 930K
operational risk, dynamic extreme value theory (EVT), generalized additive models, covariates, internal control weaknesses.
Copula, change-point, likelihood ratio, bootstrap
Risk Management, copula
claims reserving, best-estimate reserves, run-off risks, risk margin, market value margin, one-year uncertainty, claims development result, market-consistent valuation
Change-point tests, conditional dependence, copula, GARCH, risk management
Foreign exchange rates, Multivariate time series, Copula-GARCH, Conditional dependence, Dynamic copula
C02, C40, C65, G32, copulas, credit risk, dependence modeling, extreme value theory, linear correlation, subprime crisis, quantitative risk management, value-at-risk
Robust statistics, robust estimation, M-estimator, extreme value theory, extreme value distributions, generalized Pareto distribution