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de Finetti’s theorem and exchangeability
This week, we will start to work on multivariate models, and non-independence. The first idea to discuss non-independence will be to use the concept ofexchangeability. A sequence of random variable is...
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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...
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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...
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