EVT-based estimation of risk capital and convergence of high quantiles (Q3535649): Difference between revisions
From MaRDI portal
Latest revision as of 20:15, 28 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | EVT-based estimation of risk capital and convergence of high quantiles |
scientific article |
Statements
EVT-based estimation of risk capital and convergence of high quantiles (English)
0 references
13 November 2008
0 references
extreme value theory
0 references
\(g\)- and -\(h\) distribution
0 references
operational risk
0 references
peaks over threshold
0 references
penultimate approximation
0 references
second-order regular variation
0 references
slow variation
0 references
value at risk
0 references
0 references
0 references