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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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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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Supervisor's portfolio : the market price risk of German banks from 2001 to 2004 ; analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - In: Journal of banking regulation 7 (2006) 3/4, pp. 310-325
Persistent link: https://www.econbiz.de/10003370070
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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