Visualizing the Propagation of Risk: Square-Root Rule, Covariances and Ellipsoids
GARP Risk Professional, pp. 52-53, February 2010
4 Pages Posted: 4 Feb 2010 Last revised: 14 May 2011
Date Written: May 12, 2011
How to analyze and visualize the propagation law of risk in a multi-dimensional market. Commented code is available for download
Keywords: location, dispersion, diffusion, random walk, invariants, i.i.d.
JEL Classification: C1, G11
Suggested Citation: Suggested Citation