Risk Capital Aggregation

4188/Aas_-_Risk_Capital_Aggregation.pdf

Aas, Kjersti; Dimakos, Xeni Kristine; Øksendal, Anders

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