Nematrian
/


Operational Risk [29]

Go to: Summary | Previous | Next   
Bullet points include: Allow one or more parameters in definition of F(tau) to depend on common (independent) stochastic factors. E.g. assume rho in the above (same for each process) is distributed in some fashion, and in each simulation draw a different rho from that distribution and then evaluate: Alternatively, use a copula approach (or Bayesian networks?). We will look at copulas and other similar tools for handling dependency in the next session and in subsequent courses

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile