Economic Capital and the Aggregation of Risks using Copulas

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Emiliano A. Valdez~Andy Tang, Australia
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Summary:
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