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This chapter introduces the principles and methods of appropriate risk quantification and risk aggregation. In addition to explaining the most important probability distributions for quantification, this chapter discusses typical problems with this task. Within the guidelines of risk quantification, a method is provided that enables the appropriate quantification of different risks. The chapter additionally shows how the overall scope of risk of a company is determined based on corporate planning by means of risk aggregation, especially Monte Carlo simulation.

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Risk Quantification, Risk Modelling, Risk Aggregation, and Model Risks

  • 章节

  • 发表日期：

    2025年

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  • Robert Rieg,
  • Ute Vanini,
  • Werner Gleißner

摘要

This chapter introduces the principles and methods of appropriate risk quantification and risk aggregation. In addition to explaining the most important probability distributions for quantification, this chapter discusses typical problems with this task. Within the guidelines of risk quantification, a method is provided that enables the appropriate quantification of different risks. The chapter additionally shows how the overall scope of risk of a company is determined based on corporate planning by means of risk aggregation, especially Monte Carlo simulation.