A semi-parametric approach to estimating the operational risk and Expected Shortfall
Ainura Tursunalieva and Param Silvapulle
| Year of publication: |
2014
|
|---|---|
| Authors: | Tursunalieva, Ainura ; Silvapulle, Paramsothy |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 46.2014, 28/30, p. 3659-3672
|
| Subject: | heavy-tailed distribution | tail losses | generalized Pareto distribution | Op VaR | intervals | Expected Shortfall | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Operationelles Risiko | Operational risk | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| 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/10010419979