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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; 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/10003846947
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Time dynamic and hierarchical dependence modeling of a supervisory portfolio of banks : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - In: Journal of risk 14 (2011/12) 1, pp. 3-40
Persistent link: https://www.econbiz.de/10011301316
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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 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 - 2011
From a banking supervisory perspective, this paper analyzes aspects of market risk of a supervisory trading portfolio comprised of the trading books of eleven German banks with a regulatory approved internal market risk model. Based on real, clean profit-and-loss data and value-at-risk...
Persistent link: https://www.econbiz.de/10013118820
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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