Asymptotics for VaR and CTE of Total Aggregate Losses in a Bivariate Operational Risk Cell Model
Year of publication: |
2020
|
---|---|
Authors: | Yang, Yang |
Other Persons: | Gong, YiShan (contributor) ; Liu, Jiajun (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Risikomaß | Risk measure | VAR-Modell | VAR model | Operationelles Risiko | Operational risk | Verlust | Loss |
Extent: | 1 Online-Ressource (18 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Datei wurde von der herausgebenden Institution entfernt Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 12, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3625396 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Multivariate VaRs for operational risk capital computation : a vine structure approach
Guégan, Dominique, (2013)
-
Qualification of operational risk : statistical insights on coherent risk measures
Vee, Dany Ng Cheong, (2019)
-
Operational risk modelling in insurance and banking
Vukovic, Ognjen, (2016)
- More ...
-
Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang, (2023)
-
Measuring Tail Operational Risk in Univariate and Multivariate Models under Extreme Losses
Yang, Yang, (2020)
-
Gong, Yishan, (2020)
- More ...