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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 ...- 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
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ERM for Strategic Management – Status Report
for Strategic Management – Status Report Much of the push for ERM has come from regulators and rating ... This paper reviews the progress made and the needs still outstanding in two key areas of application: optimal ...- Authors: Gary G Venter
- Date: May 2009
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Enterprise Risk Management>Financial management; Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments