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Modeling Operational Risk: Estimation and Effects of Dependencies - MaRDI portal

Modeling Operational Risk: Estimation and Effects of Dependencies (Q3298512)

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Modeling Operational Risk: Estimation and Effects of Dependencies
scientific article

    Statements

    title
    Modeling Operational Risk: Estimation and Effects of Dependencies (English)
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    author
    Sandra Paterlini
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    Tina Yener
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    Stefan Mittnik
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    publication date
    14 July 2020
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    zbMATH Keywords
    operational risk
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    risk capital
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    value-at-risk
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    correlation
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    tail dependence
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62-08
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    91G70
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    zbMATH DE Number
    7220461
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    OpenAlex ID
    W187178548
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