Random matrix theory applied to correlations in operational risk
François Crénin, David Cressey, Sophie Lavaud, Jiali Xu and Pierre Clauss
| Year of publication: |
December 2015
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|---|---|
| Authors: | Crénin, François ; Cressey, David ; Lavaud, Sophie ; Xu, Jiali ; Clauss, Pierre |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1744-6740, ZDB-ID 2238989-1. - Vol. 10.2015, 4, p. 45-71
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| Subject: | operational risk modeling | correlation and dependence measures | random matrix theory | small samples | ORX database | factor models | Korrelation | Correlation | Operationelles Risiko | Operational risk | Lineare Algebra | Linear algebra | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442600