/

Fat Tails and Extreme Events [14]

Go to: Summary | Previous | Next   
Bullet points include: Crucial to the portfolio construction problem. Can split the probability distribution into two components: Marginals (i.e. distributions of each individual risk in isolation); and Copula (i.e. the remainder, the ‘co-dependency’ between risks). However Fat-tailed characteristics then difficult to visualise Copulas are akin to (indeed are) cumulative distribution functions Many problems depend on a) and b) in tandem

NAVIGATION LINKS
Contents | Prev | Next | Library


Desktop view | Switch to Mobile