Under both Basel II/III for banking as well
as Solvency 2/SST for insurance, Model
Risk (MR), especially for Risk Aggregation
purposes, plays an important role. In this
talk I will concentrate on Dependence Uncertainty and quantify MR from that point
of view. Besides reviewing some of the main results obtained over the recent years,
I will discuss several examples coming from the realm of Operational Risk, as well as the calculation of economic Capital in a real banking example. A basic reference
is A.J. McNeil, R. Frey, P. Embrechts
(2015) Quantitative Risk Management:
Concepts, Techniques and Tools. Revised Edition, Princeton University Press. | Center for Advanced Studies: 09.11.2015 | Speaker: Prof. Dr. Paul Embrechts