Guegan, Dominique; Hassani, Bertrand; Naud, Cédric - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
Operational risk quantification requires dealing with data sets which often present extreme values which have a tremendous impact on capital computations (VaR). In order to take into account these effects we use extreme value distributions to model the tail of the loss distribution function. We...
