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Homeen-gbMeasuring tail operational risk in univariate and multivariate models with extreme lossesThe authors consider operational risk models and derive limit behaviors for the value-at-risk and conditional tail expectation of aggregate operational risks in such models.
https://www.risk.net/journal-of-operational-risk/7956133/measuring-tail-operational-risk-in-univariate-and-multivariate-models-with-extreme-losses
https://www.risk.net/journal-of-operational-risk/7956133/measuring-tail-operational-risk-in-univariate-and-multivariate-models-with-extreme-losses
Tue, 28 Feb 2023 14:51:15 +0000