Enterprise Risk Management Slides

Economic capital / Other risks [11]

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Bullet points include: Mean-variance-covariance models Frequency and severity/recovery models Credit risk and / or operational risk Option pricing, including Black-Scholes and Merton Usually aggregation of exposures is adjusted to reflect correlation, see elsewhere on course

Bullet points include: Mean-variance-covariance models Frequency and severity/recovery models Credit risk and / or operational risk Option pricing, including Black-Scholes and Merton Usually aggregation of exposures is adjusted to reflect correlation, see elsewhere on course

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