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Speaker(s): Paul Embrechts (ETH Zurich)
Value-at-Risk (VaR) and Expected Shortfall (ES) are the two main risk measures widely in use by both the banking and the insurance industry. A major issue concerns the topic of model uncertainty at the level of risk aggregation when only partial (or indeed no) information on the interdependence between the underlying risk factors is known or assumed.
I will discuss some results on risk aggregation under dependence uncertainty in the case of VaR as well as ES based risk management. Various relevant papers are to be found on my website: www.math.ethz.ch/~embrechts