Abstracts

In this talk I will review recent results on the calculation of infimum and supremum bounds for risk measures of aggregate financial positions, only assuming information on the marginal risk factor distributions. This will be referred to as Dependence Uncertainty (DU). The risk measures used are mainly Value-at-Risk (VaR) and Expected Shortfall (ES). I will discuss both analytic and numerical results in the homogeneous as well as in the inhomogeneous case. Applications will be given to the Advanced Measurement Approach for Operational Risk. I will also discuss the consequences for the ongoing debate on VaR versus ES regulation for the trading book, the latter in light of recent consultative documents (May 2012, October 2013) from the Basel Committee on Banking Supervision.