Enterprise Risk Management Slides

Correlation, co-dependency and risk aggregation [28]

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Bullet points include: The Archimedean family is defined by: The Clayton family is a sub-family of the Archimedean family, with. These copulas are exchangeable, i.e. dependency between any two (or more) variables are the same. Probably a desirable property for credit portfolios

Bullet points include: The Archimedean family is defined by: The Clayton family is a sub-family of the Archimedean family, with. These copulas are exchangeable, i.e. dependency between any two (or more) variables are the same. Probably a desirable property for credit portfolios

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