Browsing Strathmore Institute of Mathematical Sciences (SIMs) by Subject "Value at risk"
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Application of the Gumbel Copula for Economic Risk Aggregation - a case of Kenyan Banks
(Strathmore University, 2015-12)Commercial banks are some of the most heavily regulated institutions, not only in Kenya but also in other parts of the world. Increasingly, the Basel Accords have been revised to require banks to set aside enough funds to ...