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Measurement of aggregate risk with copulas

✍ Scribed by Markus Junker; Angelika May

Book ID
110880018
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
248 KB
Volume
8
Category
Article
ISSN
1368-4221

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Integrated risk management for financial institutions requires an approach for aggregating risk types (such as market and credit) whose distributional shapes vary considerably. The financial institutions often ignore risks' coupling influence so as to underestimate the financial risks. We constructe