Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Year of publication: |
2022
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Authors: | Bee, Marco ; Hambuckers, Julien |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 17.2022, 1, p. 81-111
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Subject: | loss model | dependence structure | vine copula | value-at-risk | regulatory capital | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Verlust | Loss | Theorie | Theory | Basler Akkord | Basel Accord | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Operationelles Risiko | Operational risk | Bankrisiko | Bank risk |
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