Journal of Risk

Risk.net

On the aggregation of risk

Michael Brockmann, Michael Kalkbrener

ABSTRACT

The objective of this paper is to propose a general framework for aggregating economic capital across risk types. Our starting point is the class of aggregation models that operate in a single-period framework, typically with a planning horizon of one year. As an example, we present Deutsche Bank's economic capital aggregation model including calibration techniques for correlation parameters. The second part of the paper focuses on the development of multi-period extensions of the traditional single-period approach.We argue that multi-period models provide the natural setting for aggregating risk types with different liquidity profiles. Several rollover and risk management strategies are presented and their impact is analyzed in a number of examples.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

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

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