Extreme value theory for operational risk in insurance : a case study
Year of publication: |
2021
|
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Authors: | Vyskočil, Michal ; Koudelka, Jiří |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 16.2021, 4, p. 1-26
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Subject: | operational risk | extreme value theory | solvency capital requirement | value-at-risk (VaR) | generalized extreme value distribution | bootstrapping | Risikomodell | Risk model | Risikomaß | Risk measure | Ausreißer | Outliers | Basler Akkord | Basel Accord | Operationelles Risiko | Operational risk | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Bankrisiko | Bank risk |
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