1
-
2
of
2
results (0.34 seconds)
Sort By:
-
A new approach to assessing model risk in high dimensions
A new approach to assessing model risk in high dimensions A central problem for regulators and risk managers concerns the risk assessment of an aggregate portfolio defined as the sum of d ...- Authors: Carole Bernard, steven vanduffel
- Date: Mar 2015
- Topics: Enterprise Risk Management; Finance & Investments
-
Risk Aggregation and Diversification
Risk Aggregation and Diversification This report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and ...- 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