Modeling the yearly value-at-risk for operational risk in Chinese commercial banks

DOI10.1016/J.MATCOM.2011.06.008zbMath1274.91251OpenAlexW2100422201MaRDI QIDQ433617

Zhaoyang Lu

Publication date: 5 July 2012

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2011.06.008

zbMATH Keywords

Monte Carlovalue-at-riskmixture distributionoperational riskloss distribution approachmultivariate \(t\) copula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (1)

Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method

Uses Software

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Cites Work

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• Bounds for functions of dependent risks
• A Bayesian approach to estimate the marginal loss distributions in operational risk management
• An introduction to copulas. Properties and applications
• Functional correlation approach to operational risk in banking organizations
• The t Copula and Related Copulas
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Operational Risk
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

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