The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (Q5505900): Difference between revisions

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Revision as of 00:01, 29 June 2024

scientific article; zbMATH DE number 5498891
Language Label Description Also known as
English
The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
scientific article; zbMATH DE number 5498891

    Statements

    The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (English)
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    28 January 2009
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    extreme value theory
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    Hill estimator
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    LDA
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    operational risk
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    peaks over threshold
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    second order regular variation
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    subadditivity
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    value-at-risk
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