Quantification of the estimation risk inherent in loss distribution approach models
K. Panman, L. van Biljon, L. J. Haasbroek, W. D. Schutte and T. Verster
| Year of publication: |
2019
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|---|---|
| Authors: | Panman, Kevin ; Biljon, L. van ; Haasbroek, L. J. ; Schutte, W. D. ; Verster, Tanja |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 13.2019, 4, p. 17-41
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| Subject: | model risk | parameter estimation uncertainty | maximum likelihood estimation (MLE) | financial risk models | heavy-tailed distributions | Schätztheorie | Estimation theory | Risiko | Risk | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Statistische Verteilung | Statistical distribution | Risikomanagement | Risk management | Risikomodell | Risk model | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Finanzrisiko | Financial risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2019.212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012373158