Modeling the yearly value-at-risk for operational risk in Chinese commercial banks (Q433617)
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scientific article; zbMATH DE number 6053447
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling the yearly value-at-risk for operational risk in Chinese commercial banks |
scientific article; zbMATH DE number 6053447 |
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Modeling the yearly value-at-risk for operational risk in Chinese commercial banks (English)
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5 July 2012
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operational risk
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loss distribution approach
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multivariate \(t\) copula
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Monte Carlo
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mixture distribution
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value-at-risk
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0.86843294
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0.82771516
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