A general approach to integrated risk management with skewed, fat-tailed risks

• 成果类型: Article
• 署名作者: Rosenberg, JV; Schuermann, T
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.03.001
• 发表日期: 2006
• 页码: 569-614
• 关键词: market risk; Credit risk; Operational risk; Risk diversification; copula

摘要

Integrated risk management for financial institutions requires an approach for aggregating risk types (market, credit, and operational) whose distributional shapes vary considerably. We construct the joint risk distribution for a typical large, internationally active bank using the method of copulas. This technique allows us to incorporate realistic marginal distributions that capture essential empirical features of these risks such as skewness and fat-tails while allowing for a rich dependence structure. We explore the impact of business mix and inter-risk correlations on total risk. We then compare the copula-based method with several conventional approaches to computing risk. (c) 2005 Elsevier B.V. All rights reserved.