Multivariate VaRs for operational risk capital computation : a vine structure approach
Dominique Guégan; Bertrand K. Hassani
| Year of publication: |
2013
|
|---|---|
| Authors: | Guégan, Dominique ; Hassani, Bertrand K. |
| Published in: |
International journal of risk assessment and management : IJRAM. - Olney, Bucks : Inderscience Enterprises, ISSN 1466-8297, ZDB-ID 2059387-9. - Vol. 17.2013, 2, p. 148-170
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| Subject: | operational risks | vine copula | loss distribution function | LDF | nested structure | VaR | Operationelles Risiko | Operational risk | Risikomaß | Risk measure | Bankrisiko | Bank risk | Statistische Verteilung | Statistical distribution | VAR-Modell | VAR model | Basler Akkord | Basel Accord | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Theorie | Theory | Multivariate Analyse | Multivariate analysis |
| 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/10010385914