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operational sign in to follow this
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Aggregating Risk Capital, with an Application to Operational Risk
Company: Geneva Risk and Insurance Review
Year Of Publication: 2006
Month Of Publication: December
Pages: 71-90
Download Count: 915
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 2-2-2006
Publisher: Administrator
Summary
We describe a numerical procedure to obtain bounds on the distributionfunction of a sum of n dependent risks having fixed marginals.With respect to theexisting literature, our method provides improved bounds and can be applied alsoto large non-homogeneous portfolios of risks. As an application, we compute theVaR-based minimum capital requirement for a portfolio of operational risk losses.
THIS IS A PRE-PUBLICATION VERSION OF THE DOCUMENT.
Author(s)
Embrechts, Paul Sign in to follow this author
Puccetti, Giovanni Sign in to follow this author
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