Expected shortfall estimation for apparently infinite-mean models of operational risk (Q4554222): Difference between revisions

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Latest revision as of 09:06, 17 July 2024

scientific article; zbMATH DE number 6976820
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English
Expected shortfall estimation for apparently infinite-mean models of operational risk
scientific article; zbMATH DE number 6976820

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    Expected shortfall estimation for apparently infinite-mean models of operational risk (English)
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    13 November 2018
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    value-at-risk
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    expected shortfall
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    dual distribution
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    fat tails
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    upper bound
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    operational risk
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    dismal theorem
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