Risk aggregation and Extreme Events [4]

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Bullet points include: We also need to take account of how ‘fat-tailed’ each individual risk might be As this together with co-dependency drives the overall consequences of potential risks materialising Likelihood and magnitude are both important In this session we focus on Fat-tailed (i.e. non-Normal) behaviour in individual return series, the marginals Knitting together behaviour of joint return series Particularly use of copulas Managing and mitigating fat-tailed risk

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