Similar Search Results

Risk management - Analytical risk contributions for non-linear portfolios

Lutz, Helmut; Wehn, Carsten - In: Risk : managing risk in the world's financial markets 25 (2012) 3, pp. 68-72

Persistent link: https://www.econbiz.de/10009844830

Supervisor's Portfolio : The Market Price Risk of German Banks from 2001 to 2004: Analysis and Models for Risk Aggregation

Wehn, Carsten - 2008

We analyze 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 supervisor. Using the daily profits and losses and the daily Value at Risk figures of German banks for the period from 2001 to 2004, we...

Persistent link: https://www.econbiz.de/10012769538

Risk management - Event risk modelling for equities - Modelling event risk is an important challenge faced by many institutions because of new regulations. The authors develop an i...

Kehl, Annabelle; Frick, Melanie; Wehn, Carsten - In: Risk : managing risk in the world's financial markets 24 (2011) 2, pp. 90-96

Persistent link: https://www.econbiz.de/10008846134

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