Enterprise Risk Management Slides

Risk aggregation and Extreme Events [41]

Go to: Summary | Previous | Next
Bullet points include: As n , probability of less than s n - = successes goes to zero and probability of more than s n + goes to 1, for any > 0 (law of large numbers) Hence: Has been employed by Gordy for designing capital charges for loans in Basel II context Also used in modelling structured products, loan losses etc. C.f. market-implied correlation for CDOs etc.

Bullet points include: As n , probability of less than s n - = successes goes to zero and probability of more than s n + goes to 1, for any > 0 (law of large numbers) Hence: Has been employed by Gordy for designing capital charges for loans in Basel II context Also used in modelling structured products, loan losses etc. C.f. market-implied correlation for CDOs etc.

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile