Models for risk aggregation and sensitivity analysis [electronic resource] : an application to bank economic capital / Michael Jacobs.
Material type:
FilmSeries: Henry Stewart talksBusiness & management collection. Risk management for sovereign institutions: Publisher: London : Henry Stewart Talks, 2012Description: 1 online resource (1 streaming video file (38 min.) : color, sound)Subject(s): Bank capital | Banks and banking -- Risk management | Finance -- Mathematical models | Financial risk management | Risk assessment -- Econometric modelsOnline resources: Click here to access online | Series Animated audio-visual presentation with synchronized narration.
Title from title frames.
Contents: Value at Risk -- The method of copulas -- Data description -- Call report variables -- Call report and CRSP -- Loss distributions -- Time series -- 5 risk types -- Dependogram of multivariate tests -- Diversification benefit -- Copula goodness of fit (GOF) -- Bootstrap of margins & correlations.
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Mode of access: World Wide Web.