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  • Search: subject:"Point Process of exceedances"
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Year of publication
Subject
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Business Line 1 Extreme Value Theory 1 Extreme order statistics 1 Gross Income 1 Joint distribution 1 Partial sum 1 Peaks Over Threshold 1 Point Process of exceedances 1 Point process of exceedances 1 Stationary Gaussian sequence 1 capital charge 1 conventional inference 1 heavy tails 1 median shortfall 1 operational risk 1 regulatory coefficients 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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Hu, Aiping 1 Moscadelli, Marco 1 Peng, Zuoxiang 1 Qi, Yongcheng 1
Institution
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Banca d'Italia 1
Published in...
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Metrika 1 Temi di discussione (Economic working papers) 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee
Moscadelli, Marco - Banca d'Italia - 2004
The revised Basel Capital Accord requires banks to meet a capital requirement for operational risk as part of an overall risk-based capital framework. Three distinct options for calculating operational risk charges are proposed (Basic Approach, Standardised Approach, Advanced Measurement...
Persistent link: https://www.econbiz.de/10005467320
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Cover Image
Joint behavior of point process of exceedances and partial sum from a Gaussian sequence
Hu, Aiping; Peng, Zuoxiang; Qi, Yongcheng - In: Metrika 70 (2009) 3, pp. 279-295
Persistent link: https://www.econbiz.de/10005015018
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