Operational–risk Dependencies and the Determination of Risk Capital
Year of publication: |
2011-08
|
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Authors: | Mittnik, Stefan ; Paterlini, Sandra ; Yener, Tina |
Institutions: | Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia |
Subject: | Copula | Nonparametric Tail Dependence | Basel II | Loss Distribution Approach | Value–at–Risk | Subadditivity |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | pages 35 |
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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