Risk aggregation and capital allocation using copulas / Martinette Venter
Banking is a risk and return business; in order to obtain the desired returns, banks are required to take on risks. Following the demise of Lehman Brothers in September 2008, the Basel III Accord proposed considerable increases in capital charges for banks. Whilst this ensures greater economic stabi...
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| Language: | en |
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2016
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| Online Access: | http://hdl.handle.net/10394/15745 |