Summary of “Variance of the CTE Estimator” Risk Management


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Reading Source:
http://www.soa.org/library/newsletters/risk-management-newsletter/2008/august/rmn-2008-iss13.aspx

Topics Covered in this Reading

  • Conditional Tail Expectation
  • Standard Approach
  • Simple Example - The European Put
  • A More Practical Example - Variance Verification
  • Conclusions

Summary of “Variance of the CTE Estimator” Risk Management