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Modeling Tail Behavior with Extreme Value Theory
a large threshold value u such that we have several data points larger than u. Assume for example, that ... dollars) we choose u to be the 95th percentile, and there are 50 points above u. For each of ...- Authors: Damon D Levine
- Date: Sep 2009
- Competency: External Forces & Industry Knowledge
- Publication Name: Risk Management
- Topics: Enterprise Risk Management; Modeling & Statistical Methods
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Realizing ERM’s Potential: Driving Strategic Execution and Stock Value Growth
Realizing ERM’s Potential: Driving Strategic Execution and Stock Value Growth This article provides ...- Authors: Damon D Levine
- Date: Aug 2015
- Competency: Strategic Insight and Integration>Effective decision-making; Strategic Insight and Integration>Influence decisions; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
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Risk Appetite: An Axiomatic Approach
Risk Appetite: An Axiomatic Approach A comprehensive approach for risk appetite, with enterprise ... legal enti- ties to help ensure a desired rating from S&P, AM Best, etc. 3 See the paper “Establishing and ...- Authors: Damon D Levine
- Date: Mar 2017
- Competency: Results-Oriented Solutions>Actionable recommendations
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Compliance; Enterprise Risk Management>Risk appetite