Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Eike Brechmann; Claudia Czado; Sandra Paterlini
| Year of publication: |
2014
|
|---|---|
| Authors: | Brechmann, Eike ; Czado, Claudia ; Paterlini, Sandra |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 40.2014, p. 271-270
|
| Subject: | Operational risk | Risk capital | Dependence modeling | Zero inflation | Student's t copula | Vine copula | Operationelles Risiko | Multivariate Verteilung | Multivariate distribution | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Kapitalbedarf | Capital requirements | Statistische Verteilung | Statistical distribution |
| 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/10010402193