New Method Integrates Market, Credit, and Operational Risks for Accurate Estimation
The article discusses how different types of risks, like market, credit, and operational risks, can be combined to get a total risk estimate. The researchers suggest integrating these risks by looking at the random variables that describe potential losses. They propose that by considering the joint distribution of all risk factors, a more accurate total risk can be calculated. This can be done by analyzing the loss distribution for each risk type and using a method called copula approach if needed.