Enterprise Risk Management Slides

Correlation, co-dependency and risk aggregation [4]

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Bullet points include: Outcomes xj (e.g. returns) on m exposures distributed as follows (V symmetric and non-negative definite): Then weighted average of a series of outcomes: And

Bullet points include: Outcomes xj (e.g. returns) on m exposures distributed as follows (V symmetric and non-negative definite): Then weighted average of a series of outcomes: And

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