On the aggregation of credit, market and operational risks

Review of Quantitative Finance and Accounting

Volumn 44, Issue 1, 2015, Pages 161-189

  Li, Jianping ^a   Zhu, Xiaoqian ^a,b   Lee, Cheng Few ^c   Wu, Dengsheng ^a   Feng, Jichuang ^d   Shi, Yong ^b,e  

^a Chinese Academy of Science   (China)

^b UNIVERSITY OF CHINESE ACADEMY OF SCIENCES   (China)

^c RUTGERS UNIVERSITY   (United States)

^d Industrial Securities Stock Limited Company   (China)

^e UNIVERSITY OF NEBRASKA AT OMAHA   (United States)

Author keywords

Copula; Credit risk; Market risk; Operational risk; Risk aggregation; Risk dependence

Indexed keywords

EID: 84890931764     PISSN: 0924865X     EISSN: 15737179     Source Type: Journal    
DOI: 10.1007/s11156-013-0426-0     Document Type: Article

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