The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (Q5505900)
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scientific article; zbMATH DE number 5498891
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| 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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0.7773383259773254
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0.7507517337799072
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0.7418437004089355
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0.7389944195747375
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