Integrated risk modelling

被引：40

作者：

Dimakos, XK ^{[1
]}

Aas, K ^{[1
]}

机构：

[1] Norwegian Comp Ctr, N-0314 Oslo, Norway

来源：

STATISTICAL MODELLING | 2004年 / 4卷 / 04期

关键词：

diversification; integrated risk modelling; Monte Carlo simulation; total economical capital;

D O I：

10.1191/1471082X04st079oa

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we present a new approach to modelling the total economic capital required to protect a financial institution against possible losses. The approach takes into account the correlation between risk types, and in this respect, it improves upon the conventional practice that assumes perfectly correlated risks. A statistical model is built, and Monte Carlo simulation is used to estimate the total loss distribution. The methodology has been implemented in the Norwegian financial group DnB's system for risk management. Incorporating current expert knowledge of relationships between risks, rather than taking the most conservative stand, gives a 20% reduction in the total economic capital for a one year time horizon.

引用

页码：265 / 277

页数：13