Nematrian
/


Risk aggregation and Extreme Events [66]

Go to: Summary | Previous | Next   
Bullet points include: Contains complete characterisation not just of each individual marginal distribution but also of the co-dependency between them Encapsulates in a single chart fat-tailed behaviour arising both from co-dependency characteristics as well as from marginal distributions Like a one-dimensional QQ plot, places greater visual emphasis on extreme events Relatively easy to identify types of circumstances in which divergences from Normal distribution seem most pronounced Can curve-fit to smooth out sampling error if applied to observed data

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile