Aggregating risk capital, with an application to operational risk

Paul Embrechts () and Giovanni Puccetti

The Geneva Papers on Risk and Insurance Theory, 2006, vol. 31, issue 2, 71-90

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. Copyright Springer Science + Business Media, LLC 2006

Keywords: Risk aggregation; Dependency bounds; Operational risk; Mass transportation duality theorem; Global optimization (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10713-006-0556-6

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