Modeling Operational Risk: Estimation and Effects of Dependencies

DOI10.1007/978-3-7908-2604-3_55zbMath1436.62498OpenAlexW187178548MaRDI QIDQ3298512

Tina Yener, Sandra Paterlini, Stefan Mittnik

Publication date: 14 July 2020

Published in: Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2604-3_55

zbMATH Keywords

correlationvalue-at-risktail dependencerisk capitaloperational risk

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

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• Bivariate extreme statistics. I
• Estimating the tail-dependence coefficient: properties and pitfalls
• Coherent Measures of Risk
• Operational Risk
• Dependence measures for extreme value analyses

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