A central limit theorem formulation for empirical bootstrap value-at-risk
Peter Mitic and Nicholas Bloxham
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Mitic, Peter ; Bloxham, Nicholas |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 12.2018, 1, p. 49-83
|
| Subject: | central limit theorem (CLT) | operational risk | value-at-risk (VaR) | minimum risk capital | loss distribution | Risikomaß | Risk measure | Operationelles Risiko | Operational risk | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Bootstrap-Verfahren | Bootstrap approach | Risiko | Risk | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2018.182 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011869732