A comparison of alternative mixing models for external data in operational risk
Roberto Torresetti and Giacomo Le Pera
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Torresetti, Roberto ; Le Pera, Giacomo |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 10.2015, 4, p. 1-21
|
| Subject: | operational risk | power law | value-at-risk (VaR) | external loss data | Bayesian estimator | kernel smoothing | Operationelles Risiko | Operational risk | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Bankrisiko | Bank risk | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442580