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Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation
Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation Abstract ... Abstract for the 2008 ERM Monograph paper, ” Interaction of Market and Credit Risk: An Analysis of Inter-Risk ...- Authors: Klaus Bocker, Martin Hillebrand
- Date: Apr 2008
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Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation
Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation This ... investigates the interaction between a credit portfolio and another risk type, which can be thought of as market ...- Authors: Klaus Bocker, Martin Hillebrand
- Date: Apr 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial markets; Enterprise Risk Management>Financial management
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Modelling and Measuring Business Risk
Modelling and Measuring Business Risk This paper focuses on business risks rather than market, credit ... risks. The author proposes a bottom-up approach for modelling and measuring business risk where the dynamic ...- Authors: Klaus Bocker
- Date: Apr 2009
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Finance & Investments; Modeling & Statistical Methods
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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement In this Chapter we present a ... based on Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
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2007 Enterprise Risk Management Symposium: Multivariate Operational Risk: Dependence Modelling with Lévy Copulas
2007 Enterprise Risk Management Symposium: Multivariate Operational Risk: Dependence Modelling with Lévy ... modelling of operational risks occurring in different event type/business line cells poses the challenge ...- Authors: Klaus Bocker, Claudia Kluppelberg
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks
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Multivariate Operational Risk: Dependence Modelling with Lévy Copulas
Multivariate Operational Risk: Dependence Modelling with Lévy Copulas The abstract for the paper Multivariate ... Multivariate Operational Risk: Dependence Modelling with Lévy Copulas Abstract; 8450 3/28/2007 12:00:00 AM ...- Authors: Klaus Bocker, Claudia Kluppelberg
- Date: Mar 2007