Comparing risk measures when aggregating market risk and credit risk using different copulas
Jakob Maciag, Frederik Hesse, Rolf Boeve and Andreas Pfingsten
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Maciag, Jakob ; Hesse, Frederik ; Boeve, Rolf ; Pfingsten, Andreas |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2016, 5, p. 101-136
|
| Subject: | copula | estimation error | lower tail dependence | risk aggregation | risk measure | simulation | Risikomaß | Risk measure | Risiko | Risk | Kreditrisiko | Credit risk | Multivariate Verteilung | Multivariate distribution | Messung | Measurement | Theorie | Theory | Risikomanagement | Risk management | Simulation | Marktrisiko | Market risk | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011598393