Ryzyko struktury: Rys koncepcyjny
[The Risk of the Structure: Initial proposal]
The article presents the initial proposal for the group risk measurement based on the comparison of two interconnected sets of webs. The risk scalar has been presented both for each separated subsidiary as well as for the group itself. It was shown the risk profile of the group could be aggregated into a single value, and some consequences of that attribute was discussed. The practical aspects of the proposed solution were outlined.
|Date of creation:||01 Sep 2010|
|Date of revision:||01 May 2011|
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- John H. Jackson, 2010. "The Quest for International Law in Financial Regulation and Monetary affairs," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 525-526, September.
- Frank Dierick & Fatima Pires & Martin Scheicher & Kai Gereon Spitzer, 2005. "The New Basel Capital Framework and its implementation in the European Union," Occasional Paper Series 42, European Central Bank.
- Thomas Cottier & Rosa M. Lastra, 2010. "The Quest for International Law in Financial Regulation and Monetaryaffairs," Journal of International Economic Law, Oxford University Press, vol. 13(3), pages 527-530, September.
- Damir Filipović & Michael Kupper, 2008. "Optimal Capital And Risk Transfers For Group Diversification," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 55-76.
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