Risk aggregation and Extreme Events [80]

Go to: Summary | Previous | Next   
Bullet points include: Ideally risk and portfolio construction models should incorporate both magnitude and meaning Magnitude, because size of (adverse) event is its most important characteristic for risk management purposes, irrespective of its source Meaning (and hence explanatory capability), because Humans are naturally curious and seek meaning (and purpose!) “The only ‘bad’ mistakes are the ones we don’t learn from” Particularly for portfolio construction – as long as we are around next time! Extreme events probably have the most of both!

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile