Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
On the aggregation of risk
Michael Brockmann, Michael Kalkbrener
Abstract
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.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net