Enterprise Risk Management Slides

Risk aggregation and Extreme Events [39]

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Bullet points include: A pool of credit exposures (a ‘credit pool’) is said to exhibit little granularity (is ‘highly granular’?) if it comprises a large number of exposures none of which contributes a significant part of the total credit risk of the pool For such a pool, an analytical solution is available

Bullet points include: A pool of credit exposures (a ‘credit pool’) is said to exhibit little granularity (is ‘highly granular’?) if it comprises a large number of exposures none of which contributes a significant part of the total credit risk of the pool For such a pool, an analytical solution is available

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