Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Year of publication: |
2019
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Authors: | Mitic, Peter ; Hu, Jiaqi |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 14.2019, 4, p. 1-42
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Subject: | pseudo-marginal (PM) | Markov chain Monte Carlo (MCMC) | importance sampling | value-at-risk (VaR) | loss distribution | conduct risk | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Risikomanagement | Risk management | Markov-Kette | Markov chain | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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