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Enterprise Risk Management in Financial Groups: Analysis of Risk Concentrations and Default Risk
Company: University of St. Gallen
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: September
Pages: 30
Download Count: 12
View Count: 1823
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-8-2010
Publisher: Administrator
Summary
In financial groups enterprise risk management is becoming increasingly important
in controlling and managing the different independent legal entities in the
group. The aim of this paper is to assess and relate risk concentration and joint default
probabilities of the group’s legal entities in order to achieve a more comprehensive
picture of a financial group’s risk situation. We further examine the impact
of the type of dependence structure on results by comparing linear and
nonlinear dependencies using different copula concepts under certain distributional
assumptions. Our results show that even if financial groups with different
dependence structures do have the same risk concentration factor, joint default
probabilities of different sets of subsidiaries can vary tremendously.
This paper was published in Financial Markets and Portfolio Management (volume 22, number 3) (2008), pp. 241-258 (http://www.fmpm.org/docs/detail.php?id=56
Author(s)
Gatzert, Nadine Sign in to follow this author
Schmeiser, Hato Sign in to follow this author
Schuckmann, Stefan Sign in to follow this author
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