Nematrian
/


Correlation, co-dependency and risk aggregation [11]

Go to: Summary | Previous | Next   
Bullet points include: Additivity, scalability and unique axioms, k a scalar, A and B are sets of contingencies and V(X) is the value (market value, ...) we place on these payoffs. Also known as Law of One Price. Principle of Contemporaneous Value Continuity: nearly identical things are nearly identically valued. Fundamental theorem in derivative pricing. So risk management and derivative pricing closely aligned. See e.g. Kemp (2009) and Kemp (2010)

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile