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Chapter
Dependence
DOI link for Dependence
Dependence book
Dependence
DOI link for Dependence
Dependence book
ByArne Sandström
Edition 1st Edition
First Published 2010
Imprint Chapman and Hall/CRC
Pages 28
eBook ISBN 9780429062704
ABSTRACT
IN THE BASELINE APPROACH proposed by IAA, which is introduced in Chapter 14, the totalsquared capital requirement is the sum of the cross-products of different capital requirements from the risks incorporated into the model. They are added using a correlation matrix. As this approach is based on a multivariate normal distribution serving as a firstorder approximation, the correlations used are the linear correlation coefficients; see, for example, Equation 14.3b.