An analytical evaluation method of the operational risk using fast wavelet expansion techniques
Year of publication: |
2013
|
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Authors: | Ishitani, Kensuke ; Sato, Kenichi |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 20.2013, 3, p. 283-309
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Subject: | Operational risk | Compound Poisson model | Double exponential formula | Haar wavelet | Wynn’s epsilon algorithm | Cubic spline interpolation | Theorie | Theory | Zustandsraummodell | State space model | Operationelles Risiko | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure |
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