Integrated risk modelling

DOI10.1191/1471082X04ST079OAMaRDI QIDQ4675954zbMATH OpenOpenAlexFDO

Authors Xeni K. Dimakos, Kjersti Aas

Publication date 6 May 2005

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1191/1471082x04st079oa

zbMATH Keywords

Monte Carlo simulationdiversificationtotal economical capital

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• An Introduction to Credit Risk Modeling

Cited in

(13)

• Observations on industry practice in the construction of large correlation structures for risk and capital margins
• Risk measurement for portfolio credit risk based on a mixed Poisson model
• A framework to measure integrated risk
• Evolutionary Multi-Criterion Optimization
• Integrated bank risk modeling: a bottom-up statistical framework
• Integrated risk management: risk aggregation and allocation using intelligent systems
• Top-down approaches for integrated risk management: how accurate are they?
• Measuring the coupled risks: A copula-based CVaR model
• Statistical corrections of invalid correlation matrices
• Importance sampling for integrated market and credit portfolio models
• Bounds on total economic capital: the DNB case study
• A general approach to integrated risk management with skewed, fat-tailed risks
• Statistical rehabilitation of improper correlation matrices

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