Understanding and Modeling Dependent Risks

Herfried Kohl

Chapter 20 in Managing SMEs in Times of Rapid Change, Uncertainty, and Disruption, 2024, pp 507-553 from Springer

Abstract: Key Topics in This Chapter: Mainly Quantitative The quantification and modelling of dependent risks is more challenging than that of independent risks and their portfolios. Our aim is to understand, describe, and model multivariate CDFs because they contain all we can know about dependent risks. This chapter deals with various aspects and techniques related to this topic: A short collection of facts about matrices and determinants. Concepts for describing dependence: Pearson’s, Spearman’s, and Kendall’s correlation measures. Bivariate and multivariate normal distributions: Characteristics and modelling. Multivariate binomial distribution. Characteristics of multivariate PDFs and CDFs. Fréchet–Hoeffding bounds for multivariate CDFs. Copulas: The idea behind and Sklar’s theorem. Examples of copulas. Regression analysis.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:fuobcp:978-3-031-71272-2_20

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DOI: 10.1007/978-3-031-71272-2_20

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