Operational risk quantified with spectral risk measures : a refined closed-form approximation
Bin Tong, Xundi Diao and Chongfeng Wu
| Year of publication: |
2019
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|---|---|
| Authors: | Tong, Bin ; Diao, Xundi ; Wu, Chongfeng |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 7, p. 1221-1242
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| Subject: | Asymptotically smooth | Operational risk | Regular variation | Second-order regular variation | Second-order subexponentiality | Spectral risk measures | Operationelles Risiko | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk | Bankrisiko | Bank risk | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1564066 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194759