Integrated risk modelling
| Autor: | Kjersti Aas, Xeni K. Dimakos |
|---|---|
| Rok vydání: | 2004 |
| Předmět: |
Statistics and Probability
Financial economics Financial institution Economic capital 05 social sciences Diversification (finance) 01 natural sciences 010104 statistics & probability 0502 economics and business Econometrics Economics 0101 mathematics Statistics Probability and Uncertainty 050205 econometrics |
| Zdroj: | Statistical Modelling. 4:265-277 |
| ISSN: | 1477-0342 1471-082X |
| DOI: | 10.1191/1471082x04st079oa |
| Popis: | In this article, we present a new approach to modelling the total economic capital required to protect a financial institution against possible losses. The approach takes into account the correlation between risk types, and in this respect, it improves upon the conventional practice that assumes perfectly correlated risks. A statistical model is built, and Monte Carlo simulation is used to estimate the total loss distribution. The methodology has been implemented in the Norwegian financial group DnB’s system for risk management. Incorporating current expert knowledge of relationships between risks, rather than taking the most conservative stand, gives a 20% reduction in the total economic capital for a one year time horizon. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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