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Risk Aggregation and Diversification
Risk Aggregation and Diversification This report reviews the academic literature on risk aggregation and diversification as well as the regulatory approaches. We will point out the advantages and ...- Authors: Carole Bernard, steven vanduffel
- Date: Aug 2016
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments; Modeling & Statistical Methods>Conditional Tail Expectation
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Summary of paper entitled 'Variance of the CTE Estimator'
Summary of paper entitled 'Variance of the CTE Estimator' The purpose of this article is to provide a high level summary of the paper “Variance of the CTE Estimator” by B. John Manistre ...- Authors: Application Administrator, Geoffrey Hancock
- Date: Aug 2008
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods>Conditional Tail Expectation
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A Handful of Economic Capital Model Observations
A Handful of Economic Capital Model Observations Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and ...- Authors: David M Walczak
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models
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A Handful of Economic Capital Model Observations
A Handful of Economic Capital Model Observations Commentary on practical observations resulting from constructing and running Economic Capital models. Possible standardization of assumptions and ...- Authors: David M Walczak
- Date: Nov 2019
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Publication Name: Risk Management
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Conditional Tail Expectation; Modeling & Statistical Methods>Modeling efficiency; Modeling & Statistical Methods>Stochastic models