Enterprise Risk Management Slides

Correlation, co-dependency and risk aggregation [19]

Go to: Summary | Previous | Next
Bullet points include: Factor structures may be quite esoteric depending on nature of the portfolio. There are some important subtleties in practice if we are hoping to be able to estimate models that work effectively for several different asset classes simultaneously (a feature a centralised risk team might desire!). Because of inherent limitations in amount of available data

Bullet points include: Factor structures may be quite esoteric depending on nature of the portfolio. There are some important subtleties in practice if we are hoping to be able to estimate models that work effectively for several different asset classes simultaneously (a feature a centralised risk team might desire!). Because of inherent limitations in amount of available data

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile