EVT-based estimation of risk capital and convergence of high quantiles (Q3535649)
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scientific article; zbMATH DE number 5365544
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| English | EVT-based estimation of risk capital and convergence of high quantiles |
scientific article; zbMATH DE number 5365544 |
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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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0.7704296708106995
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0.7602417469024658
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0.7468965649604797
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0.7441451549530029
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