The chapter discusses how to tackle the problems in deriving an overall economic capital estimate aggregating capital at risk estimates for different risks. In particular the chapter analyses the harmonization of different estimates for different risks, the choice among alternative risk aggregation techniques (from simplified top-down approaches to more complex multifactor models), and the issue of parameter estimation.
Principles of Risk Aggregation
SAITA, FRANCESCO
2008
Abstract
The chapter discusses how to tackle the problems in deriving an overall economic capital estimate aggregating capital at risk estimates for different risks. In particular the chapter analyses the harmonization of different estimates for different risks, the choice among alternative risk aggregation techniques (from simplified top-down approaches to more complex multifactor models), and the issue of parameter estimation.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
