Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

aggregation sign in to follow this
copula sign in to follow this
dependence sign in to follow this

VaR Uses sign in to follow this
--Integrated Risk Management sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
On the Aggregation of Credit, Market and Operational Risks
Company: Review of Quantitative Finance & Accounting
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: December
Resource Link: Click here to open
Download Count: 0
View Count: 1974
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 12-30-2013
Publisher: Administrator
The objective of this study is to formulate ways of aggregation of bank risks and comprehensively compare simple summation, variance–covariance and copula approach. Firstly, the three popular approaches are adopted to aggregate credit risk, market risk and operational risk of banks based on Austrian banking data. Then, two comparisons are mainly made. Total risks aggregated by different approaches are compared to analyze their relative magnitudes. Diversification benefits of different approaches are further compared to investigate their tail dependence structures. Based on the empirical analysis, some facts are verified and some interesting findings are uncovered, leading to the conclusions that simple summation approach is too conservative and variance–covariance approach is overly optimistic, so it is suggested that copula approach is the future major trend for bank risk aggregation. Especially, t copula with degree of freedom between 1 and 10 is a good choice to capture tail dependence while Gaussian copula is not recommended.
Li, Jianping Sign in to follow this author
Zhu, Xiaoqian Sign in to follow this author
Lee, Cheng-Few Sign in to follow this author
Feng, Jichuang Sign in to follow this author
Wu, Dengsheng Sign in to follow this author
Shi, Yong Sign in to follow this author
This document's citation network:
Similar Documents:
Documents cited in this work:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile