Enterprise Risk Management Slides

Stress testing incorporating causal dependency [17]

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Bullet points include: Rebonato suggests expressing linkage logarithmically, e.g. bik ranges from -infinity to –loge(max(P(Ei),P(Ej)) Or (to make potential range of values finite)

Bullet points include: Rebonato suggests expressing linkage logarithmically, e.g. bik ranges from -infinity to –loge(max(P(Ei),P(Ej)) Or (to make potential range of values finite)

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