Concepedia

Value At Risk Aggregation

Value At Risk Aggregation is a risk aggregation method that quantifies the total exposure of a portfolio by estimating the maximum potential loss over a specified time horizon at a given confidence level, distinguishing itself through the integration of individual Value at Risk measures while accounting for diversification effects and interdependencies among risk factors.

12

Publications

971

Citations

27

Authors

20

Institutions

Publications per year

2017–2026

3

Variants

Var Aggregation

Parents

Publications

12

Risk Management: Value at Risk and Beyond

Thorsten Rheinländer · Journal of the American Statistical Association · 2003 · 341 citations

, , +10

An Academic Response to Basel 3.5

Paul Embrechts, Giovanni Puccetti, Ludger Rüschendorf et al. · Risks · 2014 · 256 citations · Full text

, , +12

The CAPM and value at risk at different time-scales

Viviana Fernández · International Review of Financial Analysis · 2005 · 99 citations

, , +12

MODEL UNCERTAINTY AND SCENARIO AGGREGATION

Mathieu Cambou, Damir Filipović · Mathematical Finance · 2015 · 45 citations · Full text

, , +16

Star-Shaped Risk Measures

Erio Castagnoli, Giacomo Cattelan, Fabio Maccheroni et al. · Operations Research · 2022 · 45 citations

, , +16

1–5 of 12

Authors

27

  1. MV
    Mario V. Wüthrich

    ETH Zurich, Switzerland

    2 publications · 51 citations

    2

    h-index

  2. SA
    Stan Alink

    University of Münster, Germany

    2 publications · 51 citations

    2

    h-index

  3. AM
    Aparna Mehra

    Indian Institute of Technology Delhi, India

    2 publications · 52 citations

    2

    h-index

  4. RW
    Ruodu Wang

    University of Waterloo, Canada

    2 publications · 301 citations

    2

    h-index

  5. ML
    Matthias Löwe

    University of Münster, Germany

    2 publications · 51 citations

    2

    h-index

1–5 of 27

Institutions

20

  1. Indian Institute of Technology Delhi

    New Delhi, India

    2 h-index

    4 publications

    104 citations

  2. University of Chile

    Santiago, Chile

    2 h-index

    2 publications

    126 citations

  3. University of Münster

    Münster, Germany

    2 h-index

    2 publications

    51 citations

  4. University of Waterloo

    Waterloo, Canada

    2 h-index

    2 publications

    301 citations

  5. Radboud University Nijmegen

    Nijmegen, The Netherlands

    2 h-index

    2 publications

    51 citations

  6. ETH Zurich

    Zurich, Switzerland

    1 h-index

    1 publications

    256 citations

  7. Bocconi University

    Milan, Italy

    1 h-index

    3 publications

    135 citations

  8. EPF - École d'ingénieurs

    Sceaux, France

    1 h-index

    1 publications

    45 citations

1–8 of 20

Venues

  1. Astin Bulletin

    2 publications · 51 citations

    2

    h-index

  2. 1

    h-index

  3. 1

    h-index

  4. Risks

    1 publications · 256 citations

    1

    h-index

  5. Computational Optimization and Applications

    1 publications · 27 citations

    1

    h-index

1–5