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. |
| 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 | Bankrisiko | Bank risk | Risikomaß | Risk measure | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution | Verlust | Loss | Schätztheorie | Estimation theory | 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