The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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Publication:5505900
DOI10.2143/AST.37.2.2024067zbMath1154.62077MaRDI QIDQ5505900
Matthias Degen, Dominik D. Lambrigger, Paul Embrechts
Publication date: 28 January 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.37.2.2024067
extreme value theory; value-at-risk; subadditivity; Hill estimator; LDA; operational risk; peaks over threshold; second order regular variation
62P20: Applications of statistics to economics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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