Archived publication
Archived publication
Risk Capital Aggregation
4188/Aas_-_Risk_Capital_Aggregation.pdf
December 01, 2005
SAMBA
- Filename: 4188/Aas_-_Risk_Capital_Aggregation.pdf
- Areas: Finance, insurance and electricity market
- Keywords: Aggregation, total economic capital, diversification, GARCH, Student's t-distribution, Basel
- Page(s): 36
- Name and number of project: Statistical Risk Management
- Title: Risk Capital Aggregation
- Author(s): Aas, Kjersti; Dimakos, Xeni Kristine; Øksendal, Anders
- Report number: SAMBA/40/05
- Published date: December 01, 2005