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  • Insurance Regulation: the 1-year 99.5% VaR Fallacy
    Insurance Regulation: the 1-year 99.5% VaR Fallacy European insurance regulation pretends to capture and rely on the 1-year 1-in-200 VaR. But there cannot exist any scientific calibration of such ...

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    • Authors: Sylvestre Frezal
    • Date: Aug 2017
    • Competency: Strategic Insight and Integration>Effective decision-making; Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Innovative solutions; Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
    • Publication Name: Risk Management
    • Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods>Estimation methods; Modeling & Statistical Methods>Extreme value theory; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods