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q-fin.RM2026
Explicit Finite-Sum Tail Risk Measures for Hierarchical Market--Credit Copula Aggregation
Luisa Tibiletti, Simone Farinelli, Eric Dal Moro
Hierarchical copula models are widely used for aggregating market and credit risks across multi-level portfolio structures. Existing approaches often rely on Monte Carlo simulation…
q-fin.RM2026
Recursive Copula Aggregation for Market and Credit Portfolios
Luisa Tibiletti, Simone Farinelli, Eric Dal Moro
Risk aggregation is a central problem in financial risk management and regulatory capital assessment. While copula-based approaches are widely used due to their tractability and in…