A New Approach for Modelling Risk Dependence Using Spatial Point Processes

We introduce a new approach for modelling risk dependence. The methods we describe are applicable to all risk types but are motivated by a need to robustly assess the dependence between operational and other risks such as market and credit.We show through a practical example how the technique being proposed can also be used to help risk managers choose between competing dependency models

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Year of publication:	2012
Authors:	Umande, Philip
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Modellierung \| Scientific modelling \| Räumliche Interaktion \| Spatial interaction

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Extent:	1 Online-Ressource (25 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2011 erstellt
Other identifiers:	10.2139/ssrn.2140013 [DOI]
Classification:	C1 - Econometric and Statistical Methods: General ; C6 - Mathematical Methods and Programming ; G1 - General Financial Markets ; G2 - Financial Institutions and Services
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013101231