Enterprise Risk Management Slides

Risk aggregation and Extreme Events [54]

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Bullet points include: Gaussian copula Here, cdf of a standard multivariate Normal distribution function is Nm() where = 0 and (i.e. i,j) is a correlation matrix (so e.g. i,i = 1 and -1 < i,j < 1) Special case where i,j = 0 if i j is Independence or Product Copula: If i,j = for all i j then Gaussian copula is exchangeable c.f. CDO pricing etc.

Bullet points include: Gaussian copula Here, cdf of a standard multivariate Normal distribution function is Nm() where = 0 and (i.e. i,j) is a correlation matrix (so e.g. i,i = 1 and -1 < i,j < 1) Special case where i,j = 0 if i j is Independence or Product Copula: If i,j = for all i j then Gaussian copula is exchangeable c.f. CDO pricing etc.

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