Parameter Uncertainty and Residual Estimation Risk
引入残差估计风险概念，衡量参数不确定性对资本充足率的影响，并提出基于参数自助法和预测分布的修正估计程序，以补偿参数不确定性并提高资本要求。
Abstract The notion of residual estimation risk is introduced to quantify the impact of parameter uncertainty on capital adequacy, for a given risk measure and capital estimation procedure. Residual risk equals the risk measure applied to the difference between a random loss and the corresponding capital estimator. Modified estimation procedures are proposed, based on parametric bootstrapping and predictive distributions, which compensate the impact of parameter uncertainty and lead to higher capital requirements. In the particular case of location‐scale families, the analysis simplifies and a capital estimator can always be found that leads to a residual risk of exactly zero.