.. _2_x_capital:

.. reviewed 2022-12-24
.. reviewed 2023-01-01

Capital Modeling and Risk Management
=================================================

**Objectives:** Application of the :class:`Portfolio` class to capital modeling, including VaR, TVaR, and risk visualization and quantification. Covers material on CAS Part 9.

**Audience:** ERM, capital modeling, risk management actuaries.

**Prerequisites:** DecL, aggregate distributions, risk measures.

**See also:** :doc:`2_x_cat`, :doc:`2_x_strategy`, :doc:`2_x_case_studies`.


**Contents:**

#. :ref:`Helpful References`
#. :ref:`cap kappa`

Helpful References
--------------------

* :cite:t:`PIR`, especially chapter 14.

.. Portfolio level probability of default, EPD, Var and TVaR statistics

.. _cap kappa:

Conditional Expectation as a Risk Management and Visualization Device
-------------------------------------------------------------------------

.. Kappa as a risk measure function.

.. todo::

    Documentation to follow. In the meantime, see examples in :doc:`2_x_case_studies`.