Li, Jianping; Zhu, Xiaoqian; Lee, Cheng-Few; Wu, Dengsheng - In: Review of Quantitative Finance and Accounting 44 (2015) 1, pp. 161-189
Risk aggregation considering inter-risk dependence has always been a challenge to both researchers and practitioners. The objective of this study is to formulate ways of aggregation of bank risks and comprehensively compare simple summation, variance–covariance and copula approach. Firstly,...
