TAIL RISK BUDGETING R. Douglas Martin* CompFin Director [removed] CFA Society of Seattle Presentation , May 20, 2011 * Part of this presentation is due to joint work with Minfeng Zhu (Aegon USA), and part - Tail value at risk - Document - PDFSEARCH.IO

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	TAIL RISK BUDGETING R. Douglas Martin* CompFin Director [removed] CFA Society of Seattle Presentation , May 20, 2011 * Part of this presentation is due to joint work with Minfeng Zhu (Aegon USA), and part Add to Reading List Document Date: 2011-05-25 14:40:26 Open Document File Size: 1,20 MB Share Result on Facebook Company Aegon USA / FinAnalytica Inc. / / Currency USD / / / Facility STABLE ETL vs. NORMAL VAR AND ETL / Stable ETL / STABLE DENSITY NORMAL DENSITY / / Organization Society of Seattle Presentation / / Person Stoyan Stoyanov / R. Douglas Martin / Scherer / / Position Director / / SocialTag Finance Economics Actuarial science Expected shortfall Modern portfolio theory Volatility Investment Risk Value at risk Mathematical finance

TAIL RISK BUDGETING R. Douglas Martin* CompFin Director [removed] CFA Society of Seattle Presentation , May 20, 2011 * Part of this presentation is due to joint work with Minfeng Zhu (Aegon USA), and partAdd to Reading List