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.
2008
9781906348151
A. Resti
Pillar II in the New Basel Accord. The Challenge of Economic Capital
Saita, Francesco
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3122191
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