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Modelling and Measuring Business Risk
Group 07 Bo?cker:Pillar II in the New Basel Accord 17/12/08 15:58 Page 179 bank. One of the most obvious ... 180 07 Bo?cker:Pillar II in the New Basel Accord 17/12/08 15:58 Page 180 flow method in continuous ...- 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
risk-type “correlation” may lead the expert to give 17 an answer biased by her cognitive notion of correlation ... ac.uk/ mcneil/ftp/WhyBanksUndercapitalised.pdf [17] P. Mu¨ller, A generic approach to posterior integration ...- 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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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 ... confidence level α as ECi(α) = F ← i (α)− E(Xi) , 17 where F←i (α) = inf{x ∈ R : Fi(x) ≥ α}, 0 < α ...- 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