OpVaR

CRANOpVaRMaRDI QIDQ122016FDOQ122016

Statistical Methods for Modelling Operational Risk

Christina Zou, Matthias Fischer, Marius Pfeuffer

Last update: 8 September 2021

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.5, 1.0, 1.1.1, 1.2

Cites work

• A Bayesian approach to extreme value estimation in operational risk modeling
• Simulating Univariate and Multivariate Tukey g-and-h Distributions Based on the Method of Percentiles
• The Calculation of Minimum Regulatory Capital using Single-Loss Approximations

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