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  • Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk
    Distribution and Quantile Estimates for Parametric and Non-parametric Models on Value at Risk ... more unstable than the 1st and the 5th. This is a direct consequence of the nature of the 500 point data ...

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    • Authors: Beda Chan
    • Date: Jan 1999
    • Competency: Technical Skills & Analytical Problem Solving
    • Publication Name: Actuarial Research Clearing House
    • Topics: Modeling & Statistical Methods