English

Scenarios and their Aggregation in the Regulatory Risk Measurement Environment

Risk Management 2012-09-05 v1

Abstract

We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.

Keywords

Cite

@article{arxiv.1209.0646,
  title  = {Scenarios and their Aggregation in the Regulatory Risk Measurement Environment},
  author = {Andreas Haier and Thorsten Pfeiffer},
  journal= {arXiv preprint arXiv:1209.0646},
  year   = {2012}
}