EVT-based estimation of risk capital and convergence of high quantiles (Q3535649)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EVT-based estimation of risk capital and convergence of high quantiles |
scientific article |
Statements
EVT-based estimation of risk capital and convergence of high quantiles (English)
0 references
13 November 2008
0 references
extreme value theory
0 references
\(g\)- and -\(h\) distribution
0 references
operational risk
0 references
peaks over threshold
0 references
penultimate approximation
0 references
second-order regular variation
0 references
slow variation
0 references
value at risk
0 references
0 references
0 references
