February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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158 CHAPTER
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6 Risk Capital Aggregation
Box 6-1: Examples of Linear Correlation Coeffi cient Estimates from Existing
Studies and Their Implication on Aggregated Risk Capital
Some of the relatively few empirical exercises on risk aggregation also report correlation
coeffi cients among major risks. Yet these coeffi cients may often vary substantially. As an
example, Table 6-2 compares correlation coeffi cients used in Kuritzkes, Schuermann, and
Weiner (2001), Ward and Lee (2002), and Dimakos and Aas (2003). Note that Ward and
Lee (2002) also consider many other risks, including P&C and life insurance risks, while
we concentrate here on market, c ...
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