Advanced approaches for measuring total banking capital

Annalisa Di Clemente ()

BANCARIA, 2010, vol. 02, 68-75

Abstract: A comparative analysis of the advanced methodologies used by the banking industry for measuring the total economic capital underlines the superiority of the top-down technique based on Monte Carlo simulation and Gaussian copula.This model is particularly suited to consider the empirical characteristics of the loss distributions associated to individual risks and the dependence structure of the relevant and quantifiable risks.

Keywords: requisiti di capitale; copula gaussiana; Var; N-Var; H-Var (search for similar items in EconPapers)
JEL-codes: C51 C52 G21 (search for similar items in EconPapers)
Date: 2010
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