Revisiting the Edge, Ten Years On

DOI10.1080/03610920902822670zbMath1197.60048OpenAlexW2115678135MaRDI QIDQ3585268

Valérie Chavez-Demoulin, Paul Embrechts

Publication date: 19 August 2010

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920902822670

zbMATH Keywords

copulaaggregationextreme value theoryvalue-at-riskquantile estimationdependenceoperational riskbanking regulation

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Financial applications of other theories (91G80)

Related Items

The Dynamics of Incentives, Productivity, and Operational Risk ⋮ Discussion: Statistical models and methods for dependence in insurance data

Uses Software

• ismev
• QRM

Cites Work

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