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The Financial Reporter
and convexities of the various asset classes. But care must be taken so that the duration and convexi- ... hear the “bad news” from the actuary. Authority & Direct Access: In over 90% of the time, the VA has authority ...- Authors: David N Becker, Thomas Campbell, Harold Forbes, Larry M Gorski, G Mitchell, Stephen N Patzman, Edward Robbins, Hans J Wagner, Glyn A Holton, Cecilia Green
- Date: May 1999
- Publication Name: The Financial Reporter
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Risks and Rewards Newsletter, October 1998, Issue No. 31
char- acterized by the presence of fat tails. A direct implication of this is that tail events are more ... the possibility, but it is vention—and he doesn’t care. All he leptokurtosis. It probably won’t under- ...- Authors: Nino A Boezio, Daniel Case, Victor Modugno, Shirley Hwei-Chung Shao, Glyn A Holton, Zain Mohey-Deen, Anthony Dardis, Edwin A Martin, HEATHER NORTH ROYER, Patrick Reinkemeyer, Timothy Cogley, Vinod Chandrashekaran, Andrew Berry
- Date: Oct 1998
- Publication Name: Risks & Rewards
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Subjective Value at Risk
Subjective Value at Risk This article provides an analysis of Value at Risk VAR and its advantages ... the possibility, but it is vention—and he doesn’t care. All he leptokurtosis. It probably won’t under- ...- Authors: Glyn A Holton
- Date: Oct 1998
- Competency: External Forces & Industry Knowledge
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Value at risk - Finance & Investments
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Developing Dollars-at-Risk Limits
Developing Dollars-at-Risk Limits This session from the 1995 SOA Boston Meeting covers the dollars-at-risk, ... under any kind of active trading. ]'his is the direct application of limiting market risk that Cindy ...- Authors: Cindy L Forbes, Richard Harris, Fidelia Chen, Glyn A Holton
- Date: Oct 1995
- Competency: External Forces & Industry Knowledge
- Publication Name: Record of the Society of Actuaries
- Topics: Finance & Investments; Finance & Investments>Banking - Finance & Investments