Sensitivity-implied tail-correlation matrices

Tail-correlation matrices are an important tool for aggregating risk measurements across risk categories, asset classes and/or business segments. This paper demonstrates that traditional tail-correlation matrices

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Year of publication:	2021
Authors:	Paulusch, Joachim ; Schlütter, Sebastian
Publisher:	Frankfurt a. M. : Goethe University Frankfurt, International Center for Insurance Regulation (ICIR)
Subject:	Risk aggregation \| Capital allocation \| Portfolio optimization

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Series:	ICIR Working Paper Series ; 33/19
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1777333407 [GVK] hdl:10419/246066 [Handle] RePEc:zbw:icirwp:3319 [RePEc]
Classification:	G22 - Insurance; Insurance Companies ; G28 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure
Source:	EconStor

Persistent link: https://www.econbiz.de/10012660920