Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [116]

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Bullet points include: Allow one or more parameters in definition of F(tau) to depend on common (independent) stochastic factors E.g. assume tau in the above (same for each process) is distributed in some fashion, and in each simulation draw a different tau from that distribution and then evaluate: Alternatively, use a copula approach, see later Session

Bullet points include: Allow one or more parameters in definition of F(tau) to depend on common (independent) stochastic factors E.g. assume tau in the above (same for each process) is distributed in some fashion, and in each simulation draw a different tau from that distribution and then evaluate: Alternatively, use a copula approach, see later Session

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