Browsing Statistics and Actuarial Science by Subject "VaR"
Now showing items 1-2 of 2
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Bounds on Aggregate Assets
(University of Waterloo, 2014-01-23)Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this ... -
Multivariate Risk Measures for Portfolio Risk Management
(University of Waterloo, 2021-01-29)In portfolio risk management, the main foci are to control the aggregate risk of the entire portfolio and to understand the contribution of each individual risk unit in the portfolio to the aggregate risk. When univariate ...