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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 … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

Persistent link: https://www.econbiz.de/10005059004

Globalisation of accounting standards

Godfrey, Jayne Maree (ed.); Chalmers, Keryn (ed.) - 2007

In this book, Jayne Godfrey and Keryn Chalmers explore the intricacies of the globalisation of accounting standards - arguably one of the most significant business developments of the wider globalisation process during the past two decades. They examine the key issues and implications of this...