Non-parametric Estimation of Operational Risk and Expected Shortfall
Year of publication: |
2013
|
---|---|
Authors: | Tursunalieva, Ainura ; Silvapulle, Param |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Heavy-tailed distribution | Loss severity distribution | Data tilting method | OpVaR | Expected shortfall |
-
Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura, (2016)
-
A semi-parametric approach to estimating the operational risk and Expected Shortfall
Tursunalieva, Ainura, (2014)
-
Extreme value statistics using related variables
Ahmed, Hanan, (2022)
- More ...
-
A semi-parametric approach to estimating the operational risk and Expected Shortfall
Tursunalieva, Ainura, (2014)
-
Boero, Gianna, (2011)
-
Silvapulle, Param, (2011)
- More ...