Nonparametric estimation of operational value-at-risk (OpVaR)
Ainura Tursunalieva, Param Silvapulle
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Tursunalieva, Ainura ; Silvapulla, Param |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 194-201
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| Subject: | Loss severity distribution | Risk analysis | Operational risk | Simulation | Empirical likelihood confidence band | Operationelles Risiko | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Verlust | Loss | Bankrisiko | Bank risk | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011530959