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Capital modelling - Practical considerations - Chapter 22

A

Adithyan

Member
This paragraph is from the page 12 of the chapter. PDF page number : 960

Firstly the model can report on each individual risk and subsets of risks to
the same level of confidence. This gives us information on the stresses
applied and the explicit or implicit correlations assumed.

I am unable to get the meaning implied by this paragraph! It would be of immense help if someone could render assistance!

Is the risk here referring to a risk type like credit risk, liquidity risk or to a policy? Also kindly help me with what the paragraph means.
 
I don't have practical experience, from rationale - If the model outputs risks and their subsets with the process how risk capital calculated from subset risks, we can get information on stresses and correlations.
 
Hemant Rupani said:
I don't have practical experience, from rationale - If the model outputs risks and their subsets with the process how risk capital calculated from subset risks, we can get information on stresses and correlations.
Click to expand...
Thank you for the help!
 
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