Bounds on total economic capital: the DNB case study
The paper deals with the risk measurement of the aggregated risk of a bank. The goal is to determine the lower and upper bounds for the value-at-risk when the marginal distributions are fixed but the copula describing the interdependence remains unknown. This is achieved with the help of the so-called Rearrangement Algorithm. The usefulness of the method is illustrated on the example of the empirical data from the Norwegian bank DNB.
scientific article; zbMATH DE number 6381861