Top-down approaches for integrated risk management: how accurate are they?

DOI10.1016/J.EJOR.2009.09.015zbMath1177.91081OpenAlexW1984060521MaRDI QIDQ1046070

Peter Grundke

Publication date: 21 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.09.015

zbMATH Keywords

goodness-of-fit testrisk managementcopula functiontop-down approachbottom-up approach

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (5)

Impact of compensation structure and managerial incentives on bank risk taking ⋮ Do banks change their liquidity ratios based on network characteristics? ⋮ Crisis and risk dependencies ⋮ A Reconciliation of the Top-Down and Bottom-Up Approaches to Risk Capital Allocations: Proportional Allocations Revisited ⋮ Integrated bank risk modeling: a bottom-up statistical framework

Cites Work

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• An introduction to copulas.
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Tracking bond indices in an integrated market and credit risk environment
• Integrated risk modelling
• An equilibrium characterization of the term structure
• Variance of the CTE Estimator

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