Abstract
We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses.
Volume
31
Page
71-90
Number
2
Year
2006
Categories
Operational Risk
Publications
Geneva Risk and Insurance Review