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A new approach to assessing model risk in high dimensions
managers concerns the risk assessment of an aggregate portfolio defined as the sum of d individual dependent ... once the joint distribution of (X1,X2, . . . ,Xd) is fully specified. Unfortunately, while the marginal ...- Authors: Carole Bernard, steven vanduffel
- Date: Mar 2015
- Topics: Enterprise Risk Management; Finance & Investments
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Risk Aggregation and Diversification
report reviews the academic literature on risk aggregation and diversification as well as the regulatory ... approaches. We will point out the advantages and disadvantages of the different approaches with a focus ...- Authors: Carole Bernard, steven vanduffel
- Date: Aug 2016
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Conditional Tail Expectation
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Enterprise Risk Management and Diversification Effects for Property and Casualty Insurance Companies - Abstract
risk management (ERM) program, the firm integrates risk management into the strategic planning process, ... casualty (P&C) insurers, which face a diverse set of risks. In contrast to previous studies that document ...- Authors: Jing Ai, Carole Bernard, steven vanduffel
- Date: Mar 2015
- Competency: External Forces & Industry Knowledge; Professional Values; Strategic Insight and Integration