Economics, Econometrics and Finance
4 years ago

German Banks' Risk Underestimated: Portfolio Value at Risk Much Lower Than Expected

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SSRN Electronic Journal
Supervisor's Portfolio: The Market Price Risk of German Banks from 2001 to 2004: Analysis and Models for Risk Aggregation
Carsten S. Wehn, Christoph Memmel

Paper Summary

The researchers analyzed how to calculate the overall risk of a portfolio made up of different German banks. They used data from 2001 to 2003 to estimate the risk of the entire portfolio, finding that the total risk was lower than the sum of individual risks during normal times. They also discovered that the risk contribution of each bank varied, with some banks having a higher impact on the overall risk than others.

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