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Search: subject:"nested structure"
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Operational risks
3
VaR
3
loss distribution function
3
nested structure
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vine copula
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Coincidence of causes and impacts
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GIS technology
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availability challenge
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compatibility challenge
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connectivity challenge
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nested structure of data provision
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transparency challenge
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Guegan, Dominique
3
Hassani, Bertrand
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Hansjürgens, Bernd
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Ohl, Cornelia
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Rat für Sozial- und Wirtschaftsdaten (RatSWD), Government of Germany
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1
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach
Guegan, Dominique
;
Hassani, Bertrand
-
HAL
-
2012
The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to take into account the embedded dependence structures of operational risks. The loss...
Persistent link: https://www.econbiz.de/10011025696
Saved in:
2
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach.
Guegan, Dominique
;
Hassani, Bertrand
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to take into account the embedded dependence structures of operational risks. The loss...
Persistent link: https://www.econbiz.de/10010721558
Saved in:
3
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach.
Guegan, Dominique
;
Hassani, Bertrand
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
The Basel Advanced Measurement Approach requires financial institutions to compute capital requirements on internal data sets. In this paper we introduce a new methodology permitting capital requirements to take into account the embedded dependence structures of operational risks. The loss...
Persistent link: https://www.econbiz.de/10009003415
Saved in:
4
Environment
Ohl, Cornelia
;
Hansjürgens, Bernd
-
2009
comparative advantage in using the GIS technology and a
nested
structure
for data provision supporting the up and down scaling of …
Persistent link: https://www.econbiz.de/10011934374
Saved in:
5
Environment
Ohl, Cornelia
;
Hansjürgens, Bernd
-
Rat für Sozial- und Wirtschaftsdaten (RatSWD), …
-
2009
comparative advantage in using the GIS technology and a
nested
structure
for data provision supporting the up and down scaling of …
Persistent link: https://www.econbiz.de/10008678655
Saved in:
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