1
-
2
of
2
results (0.8 seconds)
Sort By:
-
Bayesian Risk Aggregation: Correlation Uncertainty and Expert Judgement
risk-type “correlation” may lead the expert to give 17 an answer biased by her cognitive notion of correlation ... ac.uk/ mcneil/ftp/WhyBanksUndercapitalised.pdf [17] P. Mu¨ller, A generic approach to posterior integration ...- Authors: Klaus Bocker
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM; Finance & Investments>Economic capital; Modeling & Statistical Methods>Bayesian methods
-
Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation
Interaction of Market and Credit Risk: An Analysis of Inter-Risk Correlation and Risk Aggregation ... confidence level α as ECi(α) = F ← i (α)− E(Xi) , 17 where F←i (α) = inf{x ∈ R : Fi(x) ≥ α}, 0 < α ...- Authors: Klaus Bocker, Martin Hillebrand
- Date: Apr 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Economics>Financial markets; Enterprise Risk Management>Financial management