Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Peter Mitic and Jiaqi Hu
| Year of publication: |
2019
|
|---|---|
| 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
|
| Subject: | pseudo-marginal (PM) | Markov chain Monte Carlo (MCMC) | importance sampling | value-at-risk (VaR) | loss distribution | conduct risk | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk | Stichprobenerhebung | Sampling | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2019.232 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012157425