Modeling the yearly value-at-risk for operational risk in Chinese commercial banks (Q433617): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F40 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G32 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / zbMATH DE Number: 6053447 / rank | |||
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| Property / zbMATH Keywords | |||
operational risk | |||
| Property / zbMATH Keywords: operational risk / rank | |||
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loss distribution approach | |||
| Property / zbMATH Keywords: loss distribution approach / rank | |||
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multivariate \(t\) copula | |||
| Property / zbMATH Keywords: multivariate \(t\) copula / rank | |||
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Monte Carlo | |||
| Property / zbMATH Keywords: Monte Carlo / rank | |||
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mixture distribution | |||
| Property / zbMATH Keywords: mixture distribution / rank | |||
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value-at-risk | |||
| Property / zbMATH Keywords: value-at-risk / rank | |||
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Revision as of 00:27, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling the yearly value-at-risk for operational risk in Chinese commercial banks |
scientific article |
Statements
Modeling the yearly value-at-risk for operational risk in Chinese commercial banks (English)
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5 July 2012
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operational risk
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loss distribution approach
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multivariate \(t\) copula
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Monte Carlo
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mixture distribution
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value-at-risk
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