A clustering approach and a rule of thumb for risk aggregation
F. Marta L. Di Lascio, Davide Giammusso, Giovanni Puccetti
| Year of publication: |
November 2018
|
|---|---|
| Authors: | Di Lascio, F. Marta L. ; Giammusso, Davide ; Puccetti, Giovanni |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 96.2018, p. 236-248
|
| Subject: | (T)VaR bounds | Model uncertainty | Hierarchical clustering | Risk aggregation | Operational Risk | Market Risk | Risiko | Risk | Theorie | Theory | Risikomaß | Risk measure | Clusteranalyse | Cluster analysis | Operationelles Risiko | Operational risk | Risikomanagement | Risk management | Regionales Cluster | Regional cluster | Aggregation | Bankrisiko | Bank risk | Marktrisiko | Market risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011967212