Combining scenario and historical data in the loss distribution approach : a new procedure that incorporates measures of agreement between scenarios and historical data
P. J. de Jongh, T. de Wet, H. Raubenheimer and J. H. Venter
| Year of publication: |
2015
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|---|---|
| Authors: | Jongh, P. J. de ; De Wet, Tertius ; Raubenheimer, H. ; Venter, J. H. |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 10.2015, 1, p. 45-76
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| Subject: | loss distribution approach | severity distribution estimation | aggregate loss distribution estimation | combining historical data with scenario information | measures of agreement |
| 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/10011298876