Enterprise Risk Management Slides

Risk aggregation and Extreme Events [28]

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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

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

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