Maximum likelihood estimation error an operational value-at-risk stability
Paul Larsen
Year of publication: |
2019
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Authors: | Larsen, Paul |
Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 14.2019, 1, p. 1-23
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Subject: | heavy-tailed distributions | maximum likelihood estimation | model selection | operational risk models | small sample size | subexponential distributions | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Operationelles Risiko | Operational risk |
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