A clustering approach and a rule of thumb for risk aggregation-Reference-Cited by-同舟云学术

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A clustering approach and a rule of thumb for risk aggregation

Published:2018-11 Issue: Volume:96 Page:236-248
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Di Lascio F. Marta L.,Giammusso Davide,Puccetti Giovanni^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Bounds for total economic capital: the DNB case study;Aas;Extremes,2014

2. Estimating copulas for insurance from scarce observations, expert opinion and prior information: a Bayesian approach;Arbenz;Astin. Bull.,2012

3. Copula based hierarchical risk aggregation through sample reordering;Arbenz;Insurance Math. Econ.,2012

4. Operational Risk – Supervisory Guidelines for the Advanced Measurement Approaches;Basel Committee on Banking Supervision,2011

5. Minimum Capital Requirements for Market Risk;Basel Committee on Banking Supervision,2016

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1. A spatially‐weighted AMH copula‐based dissimilarity measure for clustering variables: An application to urban thermal efficiency;Environmetrics;2023-10-17

2. Adaptation of European Enterprises to COVID-19 Pandemic: Cluster Analysis Findings;2023 46th MIPRO ICT and Electronics Convention (MIPRO);2023-05-22

3. Fully Automated Density-Based Clustering Method;Computers, Materials & Continua;2023

4. Selection of the number of clusters in functional data analysis;Journal of Statistical Computation and Simulation;2022-03-25

5. Bank strategic asset allocation under a unified risk measure;Expert Systems with Applications;2021-12

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