A simulation comparison of quantile approximation techniques for compound distributions popular in operational risk
P.J. de Jongh, T. de Wet, K. Panman and H. Raubenheimer (Centre for BMI, North-West University)
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Jongh, Pieter Juriaan de ; De Wet, Tertius ; Panman, Kevin ; Raubenheimer, Helgard G. |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 11.2016, 1, p. 23-48
|
| Subject: | compound distribution | quantile approximation | loss distribution approach (LDA) | operational risk | single-loss approximation | perturbative approximation | Operationelles Risiko | Operational risk | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Risikomanagement | Risk management | Simulation |
| 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/10011518209