Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [113]

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Bullet points include: If tau modelled as coming from an exponential distribution then the hazard rate will equal a constant tau: Distribution of failure times often specified via hazard rates Provide a convenient way of building in sensible dynamics C.f. ‘force’ of mortality etc.

Bullet points include: If tau modelled as coming from an exponential distribution then the hazard rate will equal a constant tau: Distribution of failure times often specified via hazard rates Provide a convenient way of building in sensible dynamics C.f. ‘force’ of mortality etc.

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