Operational risk quantified with spectral risk measures: a refined closed-form approximation

DOI10.1080/14697688.2018.1564066zbMath1420.91145OpenAlexW2911543404WikidataQ128525836 ScholiaQ128525836MaRDI QIDQ5234353

Chongfeng Wu, Xun-Di Diao, Bin Tong

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1564066

zbMATH Keywords

regular variationoperational riskspectral risk measuressecond-order regular variationsecond-order subexponentialityasymptotically smooth

Mathematics Subject Classification ID

Cites Work

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