- Gauge the level of confidence by practitioners of the 99.5th percentile and other statistics
- Review, collate and develop existing work published in this area
- Analyse market data in respect of industry variability of tail statistics
- Investigate the impact of parameter uncertainty on tail statistics
- Consider the practical implications of this working party’s findings, with a focus on prudential capital setting, and how the findings should be communicated
- Liaise with related working parties as required
- Findings relevant for other areas (such as tail-risk pricing) will also be summarised.
- GIRO 2018: Workshop F: Update from the Uncertainty of the 99.5th Percentile Working Party
- 9 November 2017
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