The mutual-information-based variance-covariance approach : an application to operational risk aggregation in Chinese banking
Jianping Li, Xiaoqian Zhu, Yongjia Xie, Jianming Chen, Lijun Gao, Jichuang Feng, and Wujiang Shi
| Year of publication: |
2014
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|---|---|
| Authors: | Li, Jianping ; Zhu, Xiaoqian ; Xie, Yongjia ; Chen, Jianming ; Gao, Lijun ; Feng, Jichuang ; Shi, Wujiang |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 9.2014/2015, 3, p. 3-19
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| Subject: | China | Operational risk data | Value-at-risk (VAR) | Variance-covariance | Risk management | Original research | Risikomanagement | Operationelles Risiko | Operational risk | Bankrisiko | Bank risk | Risikomaß | Risk measure | Bank |