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On the aggregation of credit, market and operational risks · Study

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ArticleOn the aggregation of credit, market and operational risks

Jianping Li2013

Article2013

On the aggregation of credit, market and operational risks

Jianping Li · Xiaoqian Zhu · Chih‐Yung Lin · Dengsheng Wu · Jichuang Feng · Yong Shi

55 citations·0/0 files stored·Review of Quantitative Finance and Accounting

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency Risk Management in Financial Firms

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 55 citations exist upstream.

References

1999An Introduction to Copulas 2000Value At Risk: The New Benchmark for Managing Financial Risk 2004Copula Methods in Finance 2007The t Copula and Related Copulas 2007Measuring financial contagion: A Copula approach 2006Risk Assessment for Banking Systems 2006Dependence patterns across financial markets: a mixed copula approach 2004A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks*

Cited by

2016Global sensitivity analysis and aggregation of risk in multi-product supply chain networks 2012RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY 2019Aggregating risk matrices under a normative framework

Details

Year2013

Typearticle

Published2013-12-27

VenueReview of Quantitative Finance and Accounting

ISSN-L0924-865X

Languageen

Citations55

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/s11156-013-0426-0

openalex_workW2072646026

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