Modeling operational risk depending on covariates : an empirical investigation
Paul Embrechts, Kamil J. Mizgier and Xian Chen
| Year of publication: |
September 2018
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|---|---|
| Authors: | Embrechts, Paul ; Mizgier, Kamil J. ; Chen, Xian |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 13.2018, 3, p. 17-46
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| Subject: | operational risk | dynamic extreme value theory (EVT) | generalized additive models | covariates | internal control weaknesses | Operationelles Risiko | Operational risk | Theorie | Theory | Risikomaß | Risk measure | Internes Kontrollsystem | Internal control | Risikomanagement | Risk management | Korrelation | Correlation | Ausreißer | Outliers | Bankrisiko | Bank risk | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2018.212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011962172