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  • Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates
    Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates This article examines ... approximation of VaR to map parameter changes into changes in the VaR value. When the asymptotic distribution ...

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    • Authors: Jacques Rioux, Steven Major, Donald Erdman
    • Date: Nov 2010
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments