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Center for Advanced Studies (CAS) Research Focus Quantitative Network Science (LMU) - SDAuthor: Center for Advanced Studies (CAS)
While the scientific disciplines in which networks occur are diverse, the needs for analysis are similar and may be dealt with by using the same or similar quantitative methods and models. These include methods and theories ranging from mathematical graph theory and statistical network models to visualization techniques in computer science. The Research Focus Quantitative Network Science intends to bundle the different activities within network science at the LMU Munich and brings together mathematicians, statisticians, and computer scientists with empirical scientists from a wide range of disciplines in order to advance the field of quantitative network science. Language: en Contact email: Get it Feed URL: Get it iTunes ID: Get it |
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Model Risk, Solvency, and Risk Aggregation
Episode 2
Tuesday, 7 August, 2018
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
