Simon James
Senior Member
Hopefully, lots of candidates were able to calculate the capital, and hence the premiums for the 4 individual companies, using the gamma distribution with suitable parameters (looking up the parameters on the tables).
Interested to hear how you tackled the capital for the portfolio (and hence the diversification benefit). Did you try the same technique as above (and run into problems) or do something different?
Interested to hear how you tackled the capital for the portfolio (and hence the diversification benefit). Did you try the same technique as above (and run into problems) or do something different?