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Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
Bayesian copula estimation. Contrary to the classic approach of using a single inter-risk- correlation ... distribution of possible correlation matrices that enables us to tackle the important issue of parameter ...- 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 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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2007 Enterprise Risk Management Symposium: Multivariate Operational Risk: Dependence Modelling with Lévy Copulas
modelling of operational risks occurring in different event type/business line cells poses the challenge ... Invoking the new concept of Levy copulas for dependence modelling yields simple approximations of high quality ...- Authors: Klaus Bocker, Claudia Kluppelberg
- Date: Mar 2007
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Operational risks