Sfoglia per Autore
Worst VaR scenarios
2005 PAUL EMBRECHTS; ANDREA HOEING; G. PUCCETTI
Bounds for functions of dependent risks
2006 P. Embrechts; G. Puccetti
Bounds for Functions of Multivariate Risks
2006 PAUL EMBRECHTS; G. PUCCETTI
Aggregating risk capital, with an application to operational risk
2006 PAUL EMBRECHTS; G. PUCCETTI
Aggregating operational risk across matrix structured loss data
2008 P.EMBRECHTS; G. PUCCETTI
Multivariate comonotonicity
2010 G. Puccetti; M. Scarsini
Risk Aggregation
2010 P.Embrechts; G.Puccetti
Bounds for the sum of dependent risks having overlapping marginals
2010 G.Puccetti; P. Embrechts
The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
2011 P. Arbenz; P. Embrechts; G. Puccetti
The GAEP algorithm for the fast computation of the distribution of a function of dependent random variables
2012 P.Arbenz; P.Embrechts; G.Puccetti
Advances in complete mixability
2012 G. Puccetti; B. Wang; R. Wang
Computations of sharp bounds on the distribution of a function of dependent risks
2012 G.Puccetti; L.Rüschendorf
Bounds for joint portfolios of dependent risks
2012 G. Puccetti; L. Rüschendorf
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
2013 Giovanni Puccetti; Bin Wang; Ruodu Wang
Sharp bounds for sums of dependent risks
2013 Giovanni Puccetti; Ludger Rüschendorf
Model uncertainty and VaR aggregation
2013 Paul Embrechts;Giovanni Puccetti;Ludger Rüschendorf
Sharp bounds on the expected shortfall for a sum of dependent random variables
2013 Giovanni Puccetti
An Academic Response to Basel 3.5
2014 Paul Embrechts; Giovanni Puccetti; Ludger Rüschendorf; Ruodu Wang; Antonela Beleraj
Bounds on total economic capital: the DNB case study
2014 Kjersti Aas; Giovanni Puccetti
Asymptotic equivalence of conservative value-at-risk- and expected shortfall-based capital charges
2014 Giovanni Puccetti; Ludger Rüschendorf
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