Donald Erdman

SAS Institute Inc.

Director of Research and Development

100 SAS Campus Drive

Cary, NC 27513-2414

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

A Mixed Approach to Risk Aggregation

Journal of Risk Management in Financial Institutions, Vol. 6(2), (2013)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund, Wei Chen and Donald Erdman
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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Risk aggregation, mixed aggregation, hierarchical aggregation, copula

2.

The Performance of Value at Risk Models During the Crisis

Journal of Risk Model Validation, Vol. 4(1), (2010)
Posted: 28 Mar 2013 Last Revised: 11 Apr 2013
Jimmy Skoglund, Wei Chen and Donald Erdman
SAS Institute Inc., SAS Institute Inc. and SAS Institute Inc.

Abstract:

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VaR model performance, back testing, VaR models during crisis