Semi-nonparametric estimation of operational risk capital with extreme loss events
Heng Z. Chen and Stephen R. Cosslett
| Year of publication: |
2024
|
|---|---|
| Authors: | Chen, Heng Z. ; Cosslett, Stephen R. |
| Published in: |
The journal of operational risk. - London : Infopro Digital, ISSN 1755-2710, ZDB-ID 2254119-6. - Vol. 19.2024, 1, p. 51-86
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| Subject: | operational risks | extreme loss events | semi-nonparametric estimation | extreme value theory-peak over threshold | economic capital of value-at-risk at 99.9% | Operationelles Risiko | Operational risk | Risikomaß | Risk measure | Basler Akkord | Basel Accord | Bankrisiko | Bank risk | Risikomanagement | Risk management | Ausreißer | Outliers | Verlust | Loss | Nichtparametrisches Verfahren | Nonparametric statistics |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOP.2023.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014490229