/


Risk aggregation and Extreme Events [28]

Go to: Summary | Previous | Next   
Bullet points include: Suppose exposures are equally weighted, aj = 1/m so:  Suppose also uncorrelated, i.e. Vi,j = 0 if i  j: If Vi,i are bounded (i.e. K, K finite, for all i) then as m And VaR a., i.e. to the expected loss, for all

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile