Enterprise Risk Management Slides

Risk aggregation and Extreme Events [43]

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$Bullet points include: A way of specifying co-movement / co-dependency structure A copula, C(u), is a multivariate cumulative distribution function that has standard uniform marginals: Marginal distribution is the distribution of each variable in isolation. A standard uniform marginal has equal probability of occurrence across interval [0,1] Equivalent pdf (if it exists) is the ‘copula density’ (akin to a fractile-fractile box plot) Thus:$

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