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ArticleRisk Capital Aggregation

Kjersti Aas2007

Article2007

Risk Capital Aggregation

Kjersti Aas · Xeni Kristine Dimakos · Anders Øksendal

46 citations·0/0 files stored·Risk Management

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

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References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2001Extreme Correlation of International Equity Markets n.d.Multivariate GARCH models: a survey 19965 Stochastic volatility 2003A risk-factor model foundation for ratings-based bank capital rules 1996Statistical aspects of ARCH and stochastic volatility

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2009Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital 2008Measuring the coupled risks: A copula-based CVaR model 2012RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY 2006Copula-Based Top-Down Approaches in Financial Risk Aggregation 2013Integrated bank risk modeling: A bottom-up statistical framework

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Year2007

Typearticle

Published2007-03-26

VenueRisk Management

ISSN-L1460-3799

Languageen

Citations46

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1057/palgrave.rm.8250027

openalex_workW2092909574

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