2 papers
q-fin.RM2024
Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
Corrado De Vecchi, Max Nendel, Jan Streicher
In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of…
q-fin.RM2023
A hypothesis test for the long-term calibration in rating systems with overlapping time windows
Patrick Kurth, Max Nendel, Jan Streicher
We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first st…