/

Nematrian Reference Library

[this page | back links]

Set out below is information (held by the Nematrian website) on the reference you have selected

Introduction (partial) "In order to determine the appropriate amount of capital for an organization, risks must be aggregated appropriately to reflect the non-normality of individual risks and nonlinear dependence among risks, particularly in the tails of risk distributions. The Copula technique that aggregates risk components via a multi-uniform distribution has become the most significant new technique to handle these challenges. It allows us to exploit marginal distributions of individual risks at the first step, where non-normality of the risks is addressed, and provides us a comprehensive modelling tool that can reflect the dependence in a very flexible way in the second step."

See here to choose a new Category/Sub-Category or here for a list of all references held by the Nematrian website. Please contact us if any of the above material is inaccurate or if there are references you think should be included that we have excluded or vice-versa.

---