Download This PaperEignung von Varianz-Kovarianz-Ansätzen und Copula-Modellen zur Risikoaggregation in bankaufsichtlichen Risikotragfähigkeitskonzepten (How Adequate Are Covariance and Copula Based Approaches of Risk Aggregation?)
ifes Schriftenreihe Band 17 (2018)
112 Pages Posted: 21 Oct 2019
Date Written: December 1, 2018
Abstract
German Abstract: Mit einer Simulationsstudie zeigen wir, dass die Skepsis der Aufsicht hinsichtlich der Anerkennung von Diversifikationseffekten berechtigt scheint.
English Abstract: We run a simulation study to check whether the scepticism of regulators to accept diversification benefits is well-founded. Our findings are confirmatory.
Note: Downloadable document is in German.
Keywords: banking supervision, banking regulation, diversification benefit
JEL Classification: G18
Suggested Citation: Suggested Citation
Graalmann, Marc-Philip and Lehrbass, Frank and Lehrbass, Frank, Eignung von Varianz-Kovarianz-Ansätzen und Copula-Modellen zur Risikoaggregation in bankaufsichtlichen Risikotragfähigkeitskonzepten (How Adequate Are Covariance and Copula Based Approaches of Risk Aggregation?) (December 1, 2018). ifes Schriftenreihe Band 17 (2018), Available at SSRN: https://ssrn.com/abstract=3454418 or http://dx.doi.org/10.2139/ssrn.3454418
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