Economic Capital and the Aggregation of Risks using Copulas

Emiliano A. Valdez~Andy Tang, Australia

We address the issue of risk aggregation using copulas, a flexible model of allowing for dependencies while separating the effects of peculiar characteristics of the marginals such as tail thickness. The related issue of diversification is also explored.
Date: 1 June - Time: 16:15 to 17:45 - Room: 241
Theme: 1.A. Stochastic dependence