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  • Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates

    Approximating the Effects of Parameter Uncertainty on Value at Risk Estimates This article examines how parameter uncertainty leads to uncertainty in Value at Risk VaR estimates. Lacking a closed ...

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    • Authors: Jacques Rioux, Steven Major, Donald Erdman
    • Date: Nov 2010
    • Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
    • Topics: Finance & Investments>Risk measurement - Finance & Investments; Finance & Investments>Value at risk - Finance & Investments