Aggregation-robustness and model uncertainty of regulatory risk measures
Tóm tắt
Từ khóa
Tài liệu tham khảo
Aas, K., Puccetti, G.: Bounds for total economic capital: the DNB case study. Extremes 17(4), 693–715 (2014)
Acerbi, C.: Spectral measures of risk: a coherent representation of subjective risk aversion. J. Bank. Finance 26, 1505–1518 (2002)
Artzner, P., Delbaen, F., Eber, J.-M., Heath, D.: Coherent measures of risk. Math. Finance 9, 203–228 (1999)
BCBS: Consultative Document May 2012. Fundamental review of the trading book. Basel Committee on Banking Supervision. Bank for International Settlements, Basel (2012). Available online http://www.bis.org/publ/bcbs219.htm
BCBS: Consultative Document October 2013. Fundamental review of the trading book: a revised market risk framework. Basel Committee on Banking Supervision. Bank for International Settlements, Basel (2013). Available online http://www.bis.org/publ/bcbs265.htm
Ben-Tal, A., El Ghaoui, L., Nemirovski, A.: Robust Optimization. Princeton University Press, Princeton (2009)
Bernard, C., Jiang, X., Wang, R.: Risk aggregation with dependence uncertainty. Insur. Math. Econ. 54, 93–108 (2014)
Cambou, M., Filipović, D.: Model uncertainty and scenario aggregation. Math. Finance (2015, to appear). doi: 10.1111/mafi.12097
Cheung, K.C., Lo, A.: General lower bounds on convex functionals of aggregate sums. Insur. Math. Econ. 53, 884–896 (2013)
Cont, R., Deguest, R., Scandolo, G.: Robustness and sensitivity analysis of risk measurement procedures. Quant. Finance 10, 593–606 (2010)
Daníelsson, J., Jorgensen, B.N., Mandira, S., Samorodnitsky, G., de Vries, C.G.: Subadditivity re-examined: the case for Value-at-Risk. Discussion paper, 549. Financial Markets Group, London School of Economics and Political Science. Available online http://eprints.lse.ac.uk/24668
EIOPA: Equivalence assessment of the Swiss supervisory system in relation to articles 172, 227 and 260 of the Solvency II Directive, EIOPA-BoS-11-028 (2011). Available online https://eiopa.europa.eu/Pages/SearchResults.aspx?k=filename:EIOPA-BoS-11-028-Swiss-Equivalence-advice.pdf
Embrechts, P., Puccetti, G.: Bounds for functions of dependent risks. Finance Stoch. 10, 341–352 (2006)
Embrechts, P., Puccetti, G., Rüschendorf, L.: Model uncertainty and VaR aggregation. J. Bank. Finance 37, 2750–2764 (2013)
Embrechts, P., Puccetti, G., Rüschendorf, L., Wang, R., Beleraj, A.: An academic response to Basel 3.5. Risks 2, 25–48 (2014)
Emmer, S., Kratz, M., Tasche, D.: What is the best risk measure in practice? A comparison of standard measures. Preprint, ESSEC Business School (2014). Available online http://ssrn.com/abstract=2370378
Föllmer, H., Schied, A.: Stochastic Finance: An Introduction in Discrete Time, 3rd edn. de Gruyter, Berlin (2011)
Huber, P.J., Ronchetti, E.M.: Robust Statistics, 2nd edn. Wiley Series in Probability and Statistics. Wiley, New York (2009)
Jorion, P.: Value at Risk: The New Benchmark for Managing Financial Risk, 3rd edn. McGraw-Hill, New York (2006)
Kou, S., Peng, X.: On the measurement of economic tail risk. Preprint (2014). Available online arXiv:1401.4787
Krätschmer, V., Schied, A., Zähle, H.: Qualitative and infinitesimal robustness of tail-dependent statistical functionals. J. Multivar. Anal. 103, 35–47 (2012)
Krätschmer, V., Schied, A., Zähle, H.: Comparative and quantitative robustness for law-invariant risk measures. Finance Stoch. 18, 271–295 (2014)
Makarov, G.D.: Estimates for the distribution function of the sum of two random variables with given marginal distributions. Theory Probab. Appl. 26, 803–806 (1981)
Nelsen, R.: An Introduction to Copulas, 2nd edn. Springer, New York (2006)
Puccetti, G.: Sharp bounds on the expected shortfall for a sum of dependent random variables. Stat. Probab. Lett. 83, 1227–1232 (2013)
Puccetti, G., Rüschendorf, L.: Sharp bounds for sums of dependent risks. J. Appl. Probab. 50, 42–53 (2013)
Puccetti, G., Rüschendorf, L.: Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges. J. Risk 16(3), 1–19 (2014)
Puccetti, G., Wang, B., Wang, R.: Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. Insur. Math. Econ. 53, 821–828 (2013)
Sandström, A.: Handbook of Solvency for Actuaries and Risk Managers: Theory and Practice. Taylor & Francis, Florida (2010)
SCOR: From Principle-Based Risk Management to Solvency Requirements, 2nd edn. SCOR, Zurich (2008). SCOR Switzerland AG. Available online http://www.scor.com/images/stories/pdf/scorpapers/sstbook_second_edition_final.pdf
Wang, B., Wang, R.: The complete mixability and convex minimization problems for monotone marginal distributions. J. Multivar. Anal. 102, 1344–1360 (2011)
Wang, B., Wang, R.: Extreme negative dependence and risk aggregation. J. Multivar. Anal. 136, 12–25 (2015).
Wang, R.: Asymptotic bounds for the distribution of the sum of dependent random variables. J. Appl. Probab. 51, 780–798 (2014)
Wang, R., Peng, L., Yang, J.: Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. Finance Stoch. 17, 395–417 (2013)