A simulation comparison of aggregation periods for estimating correlations within operational loss data
K. Panman, L.J. Haasbroek and W.D. Pieters
| Year of publication: |
June 2016
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|---|---|
| Authors: | Panman, K. ; Haasbroek, L. J. ; Pieters, W. D. |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 2, p. 69-86
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| Subject: | correlation estimation | loss aggregation period | time series data | noperational risk | capital calculation | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Schätztheorie | Estimation theory | Aggregation | Schätzung | Estimation | Operationelles Risiko | Operational risk | Simulation | Verlust | Loss | Deutschland | Germany | Bankrisiko | Bank risk | Risikomaß | Risk measure |
| 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://ebvufind01.dmz1.zbw.eu/10011600244