Model Risk, Solvency, and Risk Aggregation - a podcast by Center for Advanced Studies (CAS)

Under both Basel II/III for banking as well
as Solvency 2/SST for insurance, ModelRisk (MR), especially for Risk Aggregation
purposes, plays an important role. In thistalk 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

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