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Mutual Information Based Copulas to Aggregate Banking Risks
Company: 2012 Fifth International Conference on Business Intelligence and Financial Engineering
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: September
Resource Link: Click here to open
Pages: 323-327
Download Count: 0
View Count: 1286
Comment Num: 0
Language: English
Source: conference proceedings
Who Can Read: Free
Date: 12-29-2012
Publisher: Administrator
Summary
This paper develops a methodology to aggregate the market, credit and operational risk and derive the economic capital. While the data is obtained by mapping the profit & loss items of income statement into risk types, the dependence structure between the risks is modeled through the combination of mutual information and copulas, which enables to capture both linear and non-linear dependence. The results show that the non-linear dependence could have influences on the risk measure such as Value-at-Risk (VaR), and that ignoring it leads to risk underestimation.
Author(s)
Li, Jianping Sign in to follow this author
Feng, Jichuang Sign in to follow this author
Zhu, Xiaoqian Sign in to follow this author
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