Value-at-Risk aggregation

• Applicant: Professor Dr. Ludger Rüschendorf
• Subject Area: Mathematics
• Term: from 2015 to 2019
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 285616838

The requested project is concerned with the development of risk bounds for the risk capital for banks and insurance companies. The relevance of this subject is the consequence of Basel 2 and Basel 3 regulations (for the sector of banks) resp. for Solvency 2 (for the sector of insurance companies) for the internal modelling, the regulatory prescriptions for risk aggregation and the assignment of risk bounds. The aim of this projecti is to reduce the dependence uncertainty (DU) by inclusion of further reliable qualitative and quantitative information. In particular the upper risk bounds should be decreased considerably such that they are reliable but also allow realistic applications in industry.

• DFG Programme: Research Grants
• International Connection: Belgium, France, Italy
• Cooperation Partners: Professorin Dr. Carole Bernard; Professor Dr. Giovanni Puccetti; Professor Dr. Gerhard Stahl; Professor Dr. Steven Vanduffel