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A new approach to assessing model risk in high dimensions
A new approach to assessing model risk in high dimensions A central problem for regulators and ... an aggregate portfolio defined as the sum of d individual dependent risks Xi. This problem is mainly a ...- Authors: Carole Bernard, steven vanduffel
- Date: Mar 2015
- Topics: Enterprise Risk Management; Finance & Investments
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Risk Aggregation and Diversification
a random sum, S = i=1 d ∑ Xi, in which the individual risks 𝑋𝑋𝑖𝑖 depict losses (claims of the different ... longer be easily specified. , in which the individual risks Xi depict losses (claims of the different ...- Authors: Carole Bernard, steven vanduffel
- Date: Aug 2016
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Conditional Tail Expectation