Enterprise Risk Management Slides

Risk aggregation and Extreme Events [50]

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Bullet points include: Vector X = (X1,..., Xm) with marginal distributions (cdfs) for Xi of Fi Joint distribution may then be written as follows (Sklar’s theorem), where C is a copula If marginals are continuous then C is unique. Conversely, if C is a copula then F as determined above is a distribution function with marginals F1, ..., Fm

Bullet points include: Vector X = (X1,..., Xm) with marginal distributions (cdfs) for Xi of Fi Joint distribution may then be written as follows (Sklar’s theorem), where C is a copula If marginals are continuous then C is unique. Conversely, if C is a copula then F as determined above is a distribution function with marginals F1, ..., Fm

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