Extreme value theory for operational risk in insurance : a case study
Michal Vyskočil and Jiří Koudelka
| Year of publication: |
2021
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|---|---|
| Authors: | Vyskočil, Michal ; Koudelka, Jiří |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 16.2021, 4, p. 1-26
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| Subject: | operational risk | extreme value theory | solvency capital requirement | value-at-risk (VaR) | generalized extreme value distribution | bootstrapping | Risikomaß | Risk measure | Operationelles Risiko | Operational risk | Ausreißer | Outliers | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Theorie | Theory | Bootstrap-Verfahren | Bootstrap approach |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2021.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013177451