Fast, accurate and straightforward extreme quantiles of compound loss distributions
Year of publication: |
2017
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Authors: | Opdyke, John Douglas |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 12.2017, 4, p. 1-30
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Subject: | economic capital | value-at-risk (VaR) | advanced measurement approach (AMA) | loss distribution approach (LDA) | single-loss approximation (SLA) | Solvency II | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Verlust | Loss | Wahrscheinlichkeitsrechnung | Probability theory | Kreditrisiko | Credit risk |
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