EVT-based estimation of risk capital and convergence of high quantiles (Q3535649): Difference between revisions
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Revision as of 12:43, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EVT-based estimation of risk capital and convergence of high quantiles |
scientific article |
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EVT-based estimation of risk capital and convergence of high quantiles (English)
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13 November 2008
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extreme value theory
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\(g\)- and -\(h\) distribution
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operational risk
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peaks over threshold
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penultimate approximation
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second-order regular variation
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slow variation
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value at risk
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