Modelling extreme market events : a report of the benchmarking stochastic models working party

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<dc:creator>Frankland, R.</dc:creator>
<dc:date>2009-11-02</dc:date>
<dc:description xml:lang="es">Sumario: This paper focusses on some practical issues that can arise when developing methodologies for calculating benchmark figures for extreme market events, particularly in the context of the Financial Services Authority's ICAS regime. The paper limits discussion to equity and interest rate risks. Whilst not intended to constitute formal guidance, it is hoped that the material contained within the paper will be useful to practitioners. The paper acknowledges the role of prior beliefs in the choice of data to be used for modelling and its influence upon the ensuing results</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/130474.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Métodos de cálculo</dc:subject>
<dc:subject xml:lang="es">Servicios financieros</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Modelling extreme market events : a report of the benchmarking stochastic models working party</dc:title>
<dc:relation xml:lang="es">En: British Actuarial Journal. - Cambridge : Cambridge University Press. - 02/11/2009 Tomo 15 Número 64  - 2009 </dc:relation>
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