Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation
Year of publication: |
2007
|
---|---|
Authors: | Peters, Gareth W. ; Johansen, Adam M. ; Doucet, Arnaud |
Publisher: |
Incisive Media Ltd. |
Subject: | QA Mathematics |
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