//-->
Time dynamic and hierarchicaldependence modelling of an aggregatedportfolio of trading books –a multivariate nonparametric approach
Gaisser, Sandra, (2009)
The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph, (2005)
Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach