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Measuring financial risks with copulas

โœ Scribed by Beatriz Vaz de Melo Mendes; Rafael Martins de Souza

Book ID
116577188
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
427 KB
Volume
13
Category
Article
ISSN
1057-5219

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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