Value at Risk and Bank Capital Management

presented the experience of the Fortis Group, large diversifi ed group active in both the

banking and the insurance business, in developing an aggregated VaR measure.

6.7 Further Reading

The best introduction to the challenges of risk aggregation and the simplifi cations that

are often adopted in practice is Joint Forum (2003). The document also discusses the issue

of whether regulators should consider diversifi cation benefi ts in setting minimum capital

requirements; on this problem, see also Kuritzkes, Schuermann, and Weiner (2001, 2002).

The Joint Forum survey also clarifi es that most fi nancial institutions are currently mainly

concerned in agg ...