ERM-103-12: Basel Committee - Developments in Modelling Risk Aggregation

📗erm-103-12
📖erm-learning-obj-2

#1

Reading Source: https://www.bis.org/publ/joint25.pdf

Topics Covered in this Reading:

  • VarCovar Approach
  • Distribution-based aggregation
  • Scenario-based aggregation
  • Coherent risk measures
  • Correlations vs dependencies
  • Positive semi-definiteness