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Advanced approaches for measuring total banking capital

Author

Listed:
  • Annalisa Di Clemente

    (Università La Sapienza di Roma)

Abstract

A comparative analysis of the advanced methodologies used by the banking industry for measuring the total economic capital underlines the superiority of the top-down technique based on Monte Carlo simulation and Gaussian copula.This model is particularly suited to consider the empirical characteristics of the loss distributions associated to individual risks and the dependence structure of the relevant and quantifiable risks.

Suggested Citation

  • Annalisa Di Clemente, 2010. "Advanced approaches for measuring total banking capital," BANCARIA, Bancaria Editrice, vol. 2, pages 68-75, February.
    • Handle: RePEc:ban:bancar:v:02:y:2010:m:february:p:68-75
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    File URL: http://www.bancariaeditrice.it/prodotti/vedi/prodotto/id/1882/bancaria-n-2-2010
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    More about this item

    Keywords

    requisiti di capitale; copula gaussiana; Var; N-Var; H-Var;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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