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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...
Persistent link: https://www.econbiz.de/10010295895
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10010298783
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Time dynamic and hierarchicaldependence modelling of an aggregatedportfolio of trading books –a multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - Deutsche Bundesbank <Frankfurt, Main> / … - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of anaggregated trading portfolio comprised of the trading books of 11 German banks with aregulatory approved internal market risk model. Based on real, clean prot and loss dataand Value-at-Risk estimates of the...
Persistent link: https://www.econbiz.de/10005866169
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The supervisors portfolio : the market price risk of German banks from 2001 to 2003 ; analysis and models for risk aggregation
Memmel, Christoph (contributor); Wehn, Carsten (contributor) - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio’s components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...
Persistent link: https://www.econbiz.de/10002844479
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10012989258
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The Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2003 - Analysis and Models for Risk Aggregation
Memmel, Christoph - 2016
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...
Persistent link: https://www.econbiz.de/10012989328
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach
Gaisser, Sandra; Memmel, Christoph; Schmidt, Rafael; … - Deutsche Bundesbank - 2009
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10005082793
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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - Deutsche Bundesbank - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...
Persistent link: https://www.econbiz.de/10005059004