/


Risk aggregation and Extreme Events [68]

Go to: Summary | Previous | Next   
Bullet points include: Output results are notoriously sensitive to input assumptions Possible responses: Treat quant models with scepticism (the fundamental manager’s approach?) Use robust approaches or Bayesian priors/anchors, e.g. Black-Litterman, shrinkage etc. Focus on reverse optimisation

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile