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Archived publication

Risk Capital Aggregation

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

 

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Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR