Eignung 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

See all articles by Marc-Philip Graalmann

Marc-Philip Graalmann

Deutsche Bundesbank

Frank Lehrbass

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting); FOM University of Applied Sciences for Economics and Management; University of the Bundesbank

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

Graalmann, Marc-Philip 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

Marc-Philip Graalmann

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Frank Lehrbass (Contact Author)

L*PARC (Lehrbass Predicitive Analytics and Risk Consulting) ( email )

Dusseldorf
Germany

HOME PAGE: http://lehrbass.de

FOM University of Applied Sciences for Economics and Management ( email )

Toulouser Allee 53
Dusseldorf, 40476
Germany

University of the Bundesbank ( email )

Schloss
Hachenburg, 57627
Germany

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