Multipurpose Aggregation in Risk Assessment

Information Security Risk Assessment, Aggregation, and Mitigation

As part of their compliance process with the Basel 2 operational risk management requirements, banks must define how they deal with information security risk management. In this paper we describe work in progress on a new quantitative model to assess and aggregate information security risks that is currently under development for deployment. We show how to find a risk mitigation strategy that i...

Risk Aggregation

Quantitative Risk Management (QRM) standardly concerns a vector of one-period profit-and-loss random variables X = (X1, . . . ,Xd) defined on some probability space (Ω ,F,P). Risk Aggregation concerns the study of the aggregate financial position Ψ (X), for some measurable function Ψ : Rd → R. Under the terms of the New Basel Capital Accord (Basel II), internationally active banks are required ...

A multipurpose method for seismic vulnerability assessment of urban areas

The present work outlines a methodological framework for “ordering” through progressive levels of analyses different evaluation models concerning the seismic vulnerability at urban scale, with respect to the possible final objectives: seismic scenarios, emergency or urban planning, as far as seismic mitigation or economical estimates. The research work has been developed within the URBISIT Proj...

Developments in Modelling Risk Aggregation

Aggregation Issues in Operational Risk

In this paper we study copula-based models for aggregation of operational risk capital across business lines in a bank. A commonly used method of summation of the value-at-risk (VaR) measures, that relies on a hypothesis of full correlation of losses, becomes inappropriate in the presence of dependence between business lines and may lead to over-estimation of the capital charge. The problem can...