Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation
Gareth W. Peters; Pavel V. Shevchenko; Mark Young; Wendy Yip
| Year of publication: |
2011
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|---|---|
| Authors: | Peters, Gareth W. ; Shevchenko, Pavel V. ; Young, Mark ; Yip, Wendy |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 49.2011, 3, p. 565-579
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| Subject: | Operationelles Risiko | Operational risk | Theorie | Theory | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | Basler Akkord | Basel Accord | Kreditrisiko | Credit risk | Bankrisiko | Bank risk |