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Homeen-gbTail dependence in small samples: from theory to practiceIn this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
https://www.risk.net/journal-of-operational-risk/5462041/tail-dependence-in-small-samples-from-theory-to-practice
https://www.risk.net/journal-of-operational-risk/5462041/tail-dependence-in-small-samples-from-theory-to-practice
Mon, 26 Mar 2018 10:57:52 +0100 Random matrix theory applied to correlations in operational riskThis paper focuses on the distribution of correlations among aggregate operational risk losses.
https://www.risk.net/journal-of-operational-risk/2435289/random-matrix-theory-applied-to-correlations-in-operational-risk
https://www.risk.net/journal-of-operational-risk/2435289/random-matrix-theory-applied-to-correlations-in-operational-risk
Fri, 20 Nov 2015 13:03:00 +0000