Enterprise Risk Management Slides

Measuring and managing market, credit and Op risk [33]

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Bullet points include: Less easy to estimate than in parametric approach Variance of r-th order statistic is: Here f is the level of the density of losses, p is prob, q = 1 – p (binomial distribution) So need to estimate density, f, in the vicinity of x(r) (per unit interval)

Bullet points include: Less easy to estimate than in parametric approach Variance of r-th order statistic is: Here f is the level of the density of losses, p is prob, q = 1 – p (binomial distribution) So need to estimate density, f, in the vicinity of x(r) (per unit interval)

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