Bounds on total economic capital: the DNB case study
type: Item
instance of: scholarly article
title: Bounds on total economic capital: the DNB case study
zbMATH Open document ID: 1314.91129
author: Kjersti Aas
author: Giovanni Puccetti
published in: Extremes
publication date: 2014-12-19T00:00:00Z
review text: 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.
reviewed by: Piotr Jaworski
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6381861
zbMATH Keywords: model risk
zbMATH Keywords: risk aggregation
zbMATH Keywords: copula
zbMATH Keywords: total economic capital
zbMATH Keywords: value-at-risk
zbMATH Keywords: rearrangement algorithm
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: s10687-014-0202-0
OpenAlex ID: W3125179638
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DOI: 10.1007/S10687-014-0202-0
description: scientific article; zbMATH DE number 6381861