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 business analytics software and services, and the largest independent vendor in the business intelligence market. Through innovative solutions, SAS helps customers at more than 70,000 sites improve performance and deliver value by making better decisions faster. Since 1976 SAS has been giving customers around the world THE POWER TO KNOW®.
Have a SAS profile? To complete this form automatically: Log In