An analytical evaluation method of the operational risk using fast wavelet expansion techniques
Kensuke Ishitani; Kenichi Sato
| Year of publication: |
2013
|
|---|---|
| Authors: | Ishitani, Kensuke ; Sato, Kenichi |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 20.2013, 3, p. 283-309
|
| Subject: | Operational risk | Compound Poisson model | Double exponential formula | Haar wavelet | Wynn’s epsilon algorithm | Cubic spline interpolation | Theorie | Theory | Operationelles Risiko | Zustandsraummodell | State space model | Risikomaß | Risk measure | Algorithmus | Algorithm | Risikomanagement | Risk management | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| 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/10010188301