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A two-stage general approach to aggregate multiple bank risks

Zhu, Xiaoqian; Wei, Lu; Li, Jianping - In: Finance research letters 40 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012819276

Model uncertainty and VaR aggregation

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764

Persistent link: https://www.econbiz.de/10009776377

Editorial: Rogue trading : back to front

Faulds, Frances; Bessis, Joël - In: Journal of risk management in financial institutions 6 (2012/13) 1, pp. 4-5

Persistent link: https://www.econbiz.de/10009722610

Risk aggregation with copula for banking industry

Yoshiba, Toshinao - 2015

Persistent link: https://www.econbiz.de/10011375924

On the aggregation of credit, market and operational risks

Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189

Persistent link: https://www.econbiz.de/10011327637

Operational choices for risk aggregation in insurance : PSDization and SCR sensitivity

Milhaud, Xavier; Poncelet, Victorien; Saillard, Clement - In: Risks : open access journal 6 (2018) 2, pp. 1-23

Requirement (SCR). We examine how classical operational choices concerning the modelling of risk dependence impacts the SCR during … new risk, and the introduction of confidence weights given to the correlation coefficients. The use of genetic algorithms …

Persistent link: https://www.econbiz.de/10011866346

A clustering approach and a rule of thumb for risk aggregation

Di Lascio, F. Marta L.; Giammusso, Davide; Puccetti, … - In: Journal of banking & finance 96 (2018), pp. 236-248

Persistent link: https://www.econbiz.de/10011967212

Aggregation of randomly weighted large risks

Asimit, Alexandru V.; Hashorva, Enkelejd; Kortschak, Dominik - In: IMA journal of management mathematics 28 (2017) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10011774250

Aggregation of 1-year risks in life and disability insurance

Djehiche, Boualem; Löfdahl, Björn - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 2, pp. 203-221

Persistent link: https://www.econbiz.de/10011620750

An approximation method for risk aggregations and capital allocation rules based on additive risk factor models

Zhou, Ming; Dhaene, Jan; Yao, Jing - In: Insurance / Mathematics & economics 79 (2018), pp. 92-100

Persistent link: https://www.econbiz.de/10011825398