Ryzyko struktury: Rys koncepcyjny

The Risk of the Structure: Initial proposal

Piotr Staszkiewicz

MPRA Paper from University Library of Munich, Germany

Abstract: The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was discussed. The practical aspects of the proposed solution were outlined.

Keywords: Risk; Risk model; Basel; Accord; CRD; Capiatl groups; Economic capital; Capital alocation; Capital requirements; Subsidiaries; Strukture; VAR; CVAR; Related parties; Fair value; Parent entity; Measurement; Solvency; Transaction value (search for similar items in EconPapers)
JEL-codes: G21 G22 G31 G32 M41 P34 (search for similar items in EconPapers)
Date: 2010-09-01, Revised 2011-05-01
New Economics Papers: this item is included in nep-cis and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Research Papers of Wrocław University of Economics 183 (2011): pp. 378-384

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:34257

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