Creating portfolio risk and return models [53]

Go to: Summary | Previous | Next   
Bullet points include: Will also want exceptionally adverse outcomes not to clump through time Might imperil solvency/credibility more than if occurring apparently randomly through time i.e. we also want independence between any two elements of the hit sequence Can test for this, e.g. by creating a contingency table of It  versus It-h (e.g. It-1) Or by analysing distribution of times between consecutive hits, which should exhibit certain statistical features if hits are independent

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile