Modelling extremal dependence for operational risk by a bipartite graph
Oliver Kley, Claudia Klüppelberg, Sandra Paterlini
| Year of publication: |
2020
|
|---|---|
| Authors: | Kley, Oliver ; Klüppelberg, Claudia ; Paterlini, Sandra |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 117.2020, p. 1-17
|
| Subject: | Bipartite graph | Expected shortfall | Extremal dependence | Operational risk | Quantile risk measure | Value-at-Risk | Risikomaß | Risk measure | Operationelles Risiko | Risikomanagement | Risk management | Bankrisiko | Bank risk | Graphentheorie | Graph theory | Basler Akkord | Basel Accord | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2020.105855 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012495775