Enterprise Risk Management Slides

Risk aggregation and Extreme Events [61]

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Bullet points include: Individual risks quantified (e.g. VaRs) as Ri for i = 1 to n, say Combined risk is quantified as E.g. Most parts of Solvency II Standard Formula SCR But not operational risk. Thoughts on why? Is mathematically equivalent to use of a Gaussian copula (with Gaussian marginals)

Bullet points include: Individual risks quantified (e.g. VaRs) as Ri for i = 1 to n, say Combined risk is quantified as E.g. Most parts of Solvency II Standard Formula SCR But not operational risk. Thoughts on why? Is mathematically equivalent to use of a Gaussian copula (with Gaussian marginals)

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