Enterprise Risk Management Slides

Stress testing incorporating causal dependency [21]

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Bullet points include: Loosely: are directed, acyclical graphs where each node/vertex is associated with two-valued (Boolean) random variable (Rebonato, some other writers use multi-valued variables) and with a conditional probability table, e.g.:

Bullet points include: Loosely: are directed, acyclical graphs where each node/vertex is associated with two-valued (Boolean) random variable (Rebonato, some other writers use multi-valued variables) and with a conditional probability table, e.g.:

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