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Models for risk aggregation and sensitivity analysis : an application to bank economic capital
Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189
total risk. Third, we estimate and compare alternative established frameworks for risk aggregation (including copula models … implementing a simple non-parametric methodology (empirical copula simulation- ECS) in order to quantify integrated risk, in that … relative to the standard Gaussian copula simulation (GCS), while the variance-covariance approximation (VCA) is much lower. ECS …
Persistent link: https://www.econbiz.de/10011556126
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Integrated risk measurement system in commercial bank
Zhevaga, Alexander; Morgunov, Alexei - In: Risk assessment and financial regulation in emerging …, (pp. 225-250). 2021
Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank's activities) and their interrelation, including building a corporate culture of risk management and integrating risk management into strategic planning. The significant risks...
Persistent link: https://www.econbiz.de/10012591724
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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z. - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Qualification of operational risk : statistical insights on coherent risk measures
Vee, Dany Ng Cheong; Gonpot, Preethee Nunkoo; … - In: The journal of operational risk 14 (2019) 2, pp. 39-59
Persistent link: https://www.econbiz.de/10012052410
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Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi; Li, Jian - In: Energy economics 76 (2018), pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
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Operational risk of option hedging
Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
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Market orientation, balance sheets and risk profile of Islamic banks
Anjum, Shahid - In: International journal of economic policy in emerging … 8 (2015) 4, pp. 318-331
Persistent link: https://www.econbiz.de/10011505986
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How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity
Zhu, Xiaoqian; Wang, Yinghui; Liu, Mingxi; Li, Jianping - In: The journal of operational risk 18 (2023) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10014490122