CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory

DOI10.1016/j.mcm.2012.07.013zbMath1297.91141OpenAlexW2003272056MaRDI QIDQ462734

Jiaqi Luan, Hongmei Wen, Feng-ge Yao

Publication date: 21 October 2014

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2012.07.013

zbMATH Keywords

CVaR measurement modeloperational riskspeak value method of extreme value theory

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Credit risk (91G40)

Related Items (1)

Evaluation of strategic risks of credit processes in the banking system of Iran

Cites Work

• High volatility, thick tails and extreme value theory in value-at-risk estimation.

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