Bounds on total economic capital: the DNB case study (Q482086)
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scientific article; zbMATH DE number 6381861
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| English | Bounds on total economic capital: the DNB case study |
scientific article; zbMATH DE number 6381861 |
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Bounds on total economic capital: the DNB case study (English)
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19 December 2014
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The paper deals with the risk measurement of the aggregated risk of a bank. The goal is to determine the lower and upper bounds for the value-at-risk when the marginal distributions are fixed but the copula describing the interdependence remains unknown. This is achieved with the help of the so-called Rearrangement Algorithm. The usefulness of the method is illustrated on the example of the empirical data from the Norwegian bank DNB.
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model risk
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risk aggregation
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copula
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total economic capital
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value-at-risk
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rearrangement algorithm
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0.7849887609481812
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0.7790647149085999
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0.7780522704124451
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0.7775587439537048
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