IEEE - Institute of Electrical and Electronics Engineers, Inc. - Total economic capital modeling based on Copula function

2011 8th International Conference on Service Systems and Service Management (ICSSSM 2011)

Author(s): Wang Jinyu ; Song Qingli
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 June 2011
Conference Location: Tianjin, China, China
Conference Date: 25 June 2011
Page(s): 1 - 5
ISBN (CD): 978-1-61284-309-4
ISBN (Electronic): 978-1-61284-311-7
ISBN (Paper): 978-1-61284-310-0
ISSN (CD): 2161-1890
ISSN (Paper): 2161-1890
DOI: 10.1109/ICSSSM.2011.5959379
Regular:

In this paper we present a new approach to calculate the total economic capital required to protect a financial institution against possible losses. The approach takes into account credit,... View More

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