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The Operational Risk Advanced Measurement Approach requires financial institutions to use scenarios to model these risks and to evaluate the pertaining capital charges. Considering that a banking group is composed of numerous entities (branches and subsidiaries), and that each one of them is...
Persistent link: https://www.econbiz.de/10011025772
regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical … copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns. …
Persistent link: https://www.econbiz.de/10005835854