Multivariate Cox Hidden Markov models with an application to operational risk
Tsz Chai Fung, Andrei L. Badescu and X. Sheldon Lin
| Year of publication: |
2019
|
|---|---|
| Authors: | Fung, Tsz Chai ; Badescu, Andrei L. ; Lin, X. Sheldon |
| Subject: | Advanced measurement approach | EM algorithm | inter-unit and temporal dependence | multivariate risk modeling | operational losses | Markov-Kette | Markov chain | Operationelles Risiko | Operational risk | Risikomanagement | Risk management | Bankrisiko | Bank risk | Theorie | Theory | Basler Akkord | Basel Accord | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Algorithmus | Algorithm |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1598482 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194991