About this paper
This white paper presents the linear and copula model approaches to the calculation of risk aggregations and economic capital. It also discusses use of risk contributions as a basis for allocating economic capital and demonstrates how to integrate economic capital into risk-adjusted performance.
SAS is the leader in analytics. Through innovative analytics, business intelligence and data management software and services, SAS helps customers at more than 75,000 sites make better decisions faster. Since 1976, SAS has been giving customers around the world THE POWER TO KNOW®.