Correlation, co-dependency and risk aggregation [6]

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Bullet points include: Suppose exposures are equally weighted, aj = 1/m so:  Suppose also uncorrelated, i.e. Vi,j = 0 if i <> j: If Vi,i are bounded (i.e. <= K, K finite, for all i) then sigma 2 tends to 0 as m tends to infinity. And VaR alpha tends to a.mu, i.e. to the expected loss, for all alpha

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