Description: This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed form solution, we use a first order approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution of parameter estimates is normal, this implies a normal approximation of the confidence interval about VaR. We describe this approximation in detail and explore some extensions to risk factor modeling.

Description: E-book contains 16 topical essays that express the opinions and thoughts of a number of authors on the subject of Investment Fallacies.

Description: This article discusses risk transfer and how difficult it is to define and describe. For actuaries, the challenge is to develop an analytical framework under which the presence of insurance risk can be identified and assessed.

Description: Investment Fallacies: The Misconceptions of Retirement Risks

Description: Investment Fallacies: On the Validity of Common Portfolio Return Assumptions

Description: This report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and disadvantages of the different approaches with a focus on model risk issues.

Description: Investment Fallacies: The Fallacy of the Fed Model

Description: Investment Fallacies: The Fable of the Storyteller and the Market

Description: Investment Fallacies: The Fallacy of Independence

Description: Investment Fallacies: The Myth of Time Diversification