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Measurement and Modelling of Dependencies in Economic Capital
Year Of Publication: 2010
Month Of Publication: May
Pages: 123
Download Count: 9
View Count: 1285
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 10-4-2012
Publisher: Administrator
Summary
This paper covers a number of different topics related to the measurement and modelling of dependency within economic capital models. The scope of the paper is relatively wide. We address in some detail the different approaches to modelling dependencies ranging from the more common variance-covariance matrix approach, to the consideration of the use of copulas and the more sophisticated causal models that feature feedback loops and other systems design ideas.
Author(s)
Smith, Andrew D. Sign in to follow this author
Spivak, Grigory Sign in to follow this author
Shaw, Richard A. Sign in to follow this author
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