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  • Search: subject:"Approximating processes"
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Approximating processes 1 Basel II Capital Accord 1 Loss distribution approach 1 Monte Carlo simulation 1 Operational risk modeling 1
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Fabozzi, Frank 1 Mitov, Ivan 1 Rachev, Svetlozar 1
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Quantitative Finance 1
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Approximation of aggregate and extremal losses within the very heavy tails framework
Mitov, Ivan; Rachev, Svetlozar; Fabozzi, Frank - In: Quantitative Finance 10 (2010) 10, pp. 1153-1162
The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by Basel II in 2001. In this paper, one possible approximation of the aggregate and maximum loss distribution in the extremely low frequency/high severity case is given, i.e. the...
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