A nonparametric operational risk modeling approach based on Cornish-Fisher expansion

DOI10.1155/2014/839731zbMath1422.91544OpenAlexW2018437798WikidataQ59038195 ScholiaQ59038195MaRDI QIDQ2321520

Jianming Chen, Dengsheng Wu, Xiaoqian Zhu, Yongjia Xie, Jichuang Feng, Lijun Gao, Yingqi YangHuo, Jian-ping Li

Publication date: 23 August 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/839731

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (1)

Operational risk aggregation based on business line dependence: a mutual information approach

Cites Work

• A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

This page was built for publication: A nonparametric operational risk modeling approach based on Cornish-Fisher expansion