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Market-Consistent Risk Margins in Fair Value Loss Reserves
Market-Consistent Risk Margins in Fair Value Loss Reserves This paper introduces a minor modification to the Wacek framework that restores market consistency and additivity. The modification ...- Authors: Michael G Wacek
- Date: Jan 2011
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Enterprise Risk Management>Capital management - ERM