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Aggregating risk capital, with an application to operational risk
Authors:Paul Embrechts  Giovanni Puccetti
Institution:(1) Department of Mathematics, ETH Zurich, CH-8092 Zurich, Switzerland;(2) Department of Mathematics for Decisions, University of Firenze, 50134 Firenze, Italy
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. JEL Classification G20 · 60E15 · 91B30
Keywords:Risk aggregation  Dependency bounds  Operational risk  Mass transportation duality theorem  Global optimization
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