A maximum entropy approach to the loss data aggregation problem
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral
| Year of publication: |
March 2016
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|---|---|
| Authors: | Gomes-Gonçalves, Erika ; Gzyl, Henryk ; Mayoral, Silvia |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 1, p. 49-70
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| Subject: | loss data analysis | loss aggregation | maximum entropy method | density reconstruction | regulatory capital | operational risk | Entropie | Entropy | Theorie | Theory | Operationelles Risiko | Operational risk | Aggregation | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Verlust | Loss |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011518211