Aggregation

Anja Blatter, Sean Bradbury, Pascal Bruhn and Dietmar Ernst
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Anja Blatter: Nürtingen-Geislingen University of Applied Sciences
Sean Bradbury: Nürtingen-Geislingen University of Applied Sciences
Pascal Bruhn: Nürtingen-Geislingen University of Applied Sciences
Dietmar Ernst: Nürtingen-Geislingen University of Applied Sciences

Chapter Chapter 6 in Risk Management in Banks and Insurance Companies, 2024, pp 183-209 from Springer

Abstract: Abstract Determining the risk capital for a financial institution, the risk measure for an overall portfolio must be calculated. Therefore, aggregation methods have to be considered. There are various popular concepts to aggregate risks. First, the concept of the variance–covariance matrix is explained. After that the concept of copulas is introduced. The advantage of copulas is that also extreme events can be modeled—a phenomenon that can often be observed in financial practice and is therefore highly relevant. Based on these dependencies, an aggregate risk capital can be determined.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-42836-4_6

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DOI: 10.1007/978-3-031-42836-4_6

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