Value-at-Risk aggregation

风险价值汇总

• 批准号: 285616838
• 负责人: Professor Dr. Ludger Rüschendorf
• 金额: --
• 依托单位: Grenoble Ecole de Management
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2015
• 资助国家: 德国
• 起止时间: 2014-12-31 至 2018-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/285616838?language=en
• 关键词: Value; Risk; aggregation

The requested project is concerned with the development of risk bounds for the risk capital for banks and insurance companies. The relevance of this subject is the consequence of Basel 2 and Basel 3 regulations (for the sector of banks) resp. for Solvency 2 (for the sector of insurance companies) for the internal modelling, the regulatory prescriptions for risk aggregation and the assignment of risk bounds. The aim of this projecti is to reduce the dependence uncertainty (DU) by inclusion of further reliable qualitative and quantitative information. In particular the upper risk bounds should be decreased considerably such that they are reliable but also allow realistic applications in industry.

所要求的项目涉及为银行和保险公司的风险资本制定风险界限。这一主题的相关性是巴塞尔2和巴塞尔3法规（针对银行部门）的结果。偿付能力2（保险公司部门）的内部建模、风险汇总的监管规定和风险界限的分配。该项目的目的是通过包含进一步可靠的定性和定量信息来减少依赖不确定性（DU）。特别是风险上限应大大降低，使其可靠，但也允许在工业中的实际应用。

项目成果

How robust is the value-at-risk of credit risk portfolios?

• DOI: 10.1080/1351847x.2015.1104370
• 发表时间: 2015-10
• 期刊: The European Journal of Finance
• 作者: C. Bernard;L. Rüschendorf;S. Vanduffel;Jing Yao

Value‐at‐Risk bounds with two‐sided dependence information

具有两侧依赖性信息的风险价值界限

• DOI: 10.1111/mafi.12192
• 发表时间: 2018
• 期刊: Mathematical Finance
• 影响因子: 1.6
• 作者: T. Lux;L. Rüschendorf
• 通讯作者: L. Rüschendorf

Reduction of Value-at-Risk bounds via independence and variance information

• DOI: 10.1080/03461238.2015.1119717
• 发表时间: 2015-09
• 期刊: Scandinavian Actuarial Journal
• 影响因子: 1.8
• 作者: Giovanni Puccetti-;L. Rüschendorf;Daniel Small;S. Vanduffel

Risk bounds for factor models

• DOI: 10.1007/s00780-017-0328-4
• 发表时间: 2017-07-01
• 期刊: FINANCE AND STOCHASTICS
• 影响因子: 1.7
• 作者: Bernard, Carole;Rueschendorf, Ludger;Wang, Ruodu
• 通讯作者: Wang, Ruodu