Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
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Publication:433617
DOI10.1016/j.matcom.2011.06.008zbMath1274.91251MaRDI QIDQ433617
Publication date: 5 July 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2011.06.008
Monte Carlo; value-at-risk; mixture distribution; operational risk; loss distribution approach; multivariate \(t\) copula
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H20: Measures of association (correlation, canonical correlation, etc.)
62G32: Statistics of extreme values; tail inference
62F40: Bootstrap, jackknife and other resampling methods
65C05: Monte Carlo methods
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- Bounds for functions of dependent risks
- A Bayesian approach to estimate the marginal loss distributions in operational risk management
- An introduction to copulas. Properties and applications
- Functional correlation approach to operational risk in banking organizations
- The t Copula and Related Copulas
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Operational Risk
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT