Review paper
Integrating Credit,Market and Operational Risk Based on Risk Correlation
Published: Jan 1, 2010
Abstract
The correlations among the credit,market and operational risk significantly influence the integrated risk.This paper proposes a model to integrate credit,market and operational risk considering correlation.The integrated risk is computed by Copula function and Monte Carlo simulation.The diversification benefit and the overall risk variation from different copulas are explored.At last,the empirical results base on an accepted literature data...
Paper Details
Title
Integrating Credit,Market and Operational Risk Based on Risk Correlation
Published Date
Jan 1, 2010
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