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


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A Fellowship Forums Wiki Community Post

Online Link to this Reading: https://www.bis.org/publ/joint25.pdf

Key Takeaways:

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