Posts Tagged ‘ VaR ’

MAT8886 exchangeability, credit risk and risk measures

February 10, 2012
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MAT8886 exchangeability, credit risk and risk measures

Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with a more general setting. For instance, in a old...

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