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Printable Handouts
Navigable Slide Index
- Introduction
- Outline
- Background and motivation (1)
- Background and motivation (2)
- Summary and conclusions (1)
- Summary and conclusions (2)
- Review of the literature
- Value at Risk
- The method of copulas (1)
- The method of copulas (2)
- The method of copulas (3)
- Data description
- Call report variables
- Call report and CRSP
- Loss distributions
- Time series
- 5 risk types
- Dependogram of multivariate tests
- 99.97th percentile dollar VaR
- 99.97th percentile VaR and BVA
- 99.97th percentile VaR diversification benefit
- Copula goodness of fit (GOF)
- Discussion of VaR, diversification benefit & GOF
- Bootstrap of correlations (1)
- Bootstrap of margins (1)
- Bootstrap of correlations (2)
- Bootstrap of margins (2)
- Discussion
- Summary (1)
- Summary (2)
This material is restricted to subscribers.
Topics Covered
- Value at Risk
- The method of copulas
- Data description
- Call report variables
- Call report and CRSP
- Loss distributions
- Time series
- 5 risk types
- Dependogram of multivariate tests
- Diversification benefit
- Copula goodness of fit (GOF)
- Bootstrap of margins & correlations
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Talk Citation
Jacobs, M. (2012, March 15). Models for risk aggregation and sensitivity analysis: an application to bank economic capital [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved August 31, 2024, from https://doi.org/10.69645/VSKF4567.Export Citation (RIS)
Publication History
Models for risk aggregation and sensitivity analysis: an application to bank economic capital
Published on March 15, 2012
38 min
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