Hidden Markov regimes in operational loss data : application to the recent financial crisis
Georges Dionne and Samir Saissi Hassani
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Dionne, Georges ; Hassani, Samir Saissi |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 12.2017, 1, p. 23-51
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| Subject: | hidden Markov regime | operational risk | 2007-9 financial crisis | skew-t type-4 distribution | banks' regulatory capital | Finanzkrise | Financial crisis | Operationelles Risiko | Operational risk | Bankrisiko | Bank risk | Markov-Kette | Markov chain | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Bankenkrise | Banking crisis | Bankenregulierung | Bank regulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2017.188 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011639714