Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Year of publication: |
2014
|
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Authors: | Brechmann, Eike ; Czado, Claudia ; Paterlini, Sandra |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 40.2014, C, p. 271-285
|
Publisher: |
Elsevier |
Subject: | Operational risk | Risk capital | Dependence modeling | Zero inflation | Student’s t copula | Vine copula |
Type of publication: | Article |
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Classification: | C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G10 - General Financial Markets. General ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
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Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Brechmann, Eike, (2014)
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Operational-Risk Dependencies and the Determination of Risk Capital
Mittnik, Stefan, (2011)
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Operational–risk Dependencies and the Determination of Risk Capital
Mittnik, Stefan, (2011)
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Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Brechmann, Eike, (2014)
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Flexible Dependence Modeling of Operational Risk Losses and Its Impact on Total Capital Requirements
Brechmann, Eike, (2013)
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Modeling Dependence of Operational Loss Frequencies
Brechmann, Eike, (2013)
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