Risk Aggregation - Best Practice

 

In finance, money is the raw material but risk is the business. Risk assessments are performed at various levels according to standard rules (e.g. Basel II) or flexible internal methods. In both cases, aggregating separate risk types to produce a description of total risk remains a formidable challenge. The presentation includes:

1. The Risk Aggregation Issue

2. Errors in Aggregation

3. Alternative Views of Total Risk

4. An Adapted Aggregation Framework

5. A Factor Model for the ‘Normal’ Case

6. Extension of the ‘Tail’ Case

7. A Business Model for the ‘Stress’ Case

8. Conclusions

 

 

  • LinkedIn  
  • Save this article
  • Print this page  

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To download this content and continue reading...

You need to sign in to use this feature. If you don’t have a Chartis account, please register for an account.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: