Posts Tagged ‘ dimension ’

Non transitivity of correlation for random vectors in dimension 3

May 18, 2012
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Non transitivity of correlation for random vectors in dimension 3

Dependence in dimension 2 is difficult. But one has to admit that dimension 2 is way more simple than dimension 3 ! I recently rediscovered a nice paper, Langford, Schwertman & Owens (2001), on transitivity of the property of being positively c...

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Correlations, dimension, and risk measure

May 4, 2012
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Correlations, dimension, and risk measure

Yesterday, while I was attending the IFM2 conference, at HEC Montreal, I heard a nice talk about credit risk, and a comparison between contagion (or at least default correlation), for corporate and retail companies (in the US). And it was mentioned...

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