Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang Yang, Yishan Gong and Jiajun Liu
| Year of publication: |
2023
|
|---|---|
| Authors: | Yang, Yang ; Gong, Yishan ; Liu, Jiajun |
| Subject: | asymptotics | operational risk | value-at-risk (VaR) | conditional tail expectation (CTE) | asymptotic independence | regular variation | Risikomaß | Risk measure | Operationelles Risiko | Operational risk | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Risikomanagement | Risk management | Ausreißer | Outliers | Risiko | Risk | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2022.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014490082