Enterprise Risk Management Slides

Stress testing incorporating causal dependency [19]

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Bullet points include: Given three events E1, E2 and E3 then we say that E1 and E2 are conditionally independent given E3 if: Definition in Moore (2001): “Given knowledge of whether E3 has occurred or not, knowledge of whether E2 has happened or not would not help in predicting whether E1 has happened or not”

Bullet points include: Given three events E1, E2 and E3 then we say that E1 and E2 are conditionally independent given E3 if: Definition in Moore (2001): “Given knowledge of whether E3 has occurred or not, knowledge of whether E2 has happened or not would not help in predicting whether E1 has happened or not”

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