ERM-101-12: Measurement and Modeling of Dependencies in Economic Capital


Reading Source:

Topics Covered in this Reading:

  • Correlation as the Simplest Type of Dependency
    • Dependency Structures
    • What do we mean by Dependency?
    • Pearson Correlation Coefficient
    • Spearman Coefficient
    • Kendall Tau Correlation
    • Numerical Example
  • Risk Aggregation
    • Risk Aggregation Framework
    • Risk Aggregation Methodologies
    • Simple Summation
    • Fixed Diversification Percentage
    • Variance-Covariance Matrix
    • Copulas
    • Causal Modelling
    • Natural Catastrophe vs Reinsurance Credit Risk Aggregation

ERM-101-12: Measurement and Modelling of Dependencies in Economic Capital, Ch.3