Direct Determination of Operational Value-at-Risk Using Descriptive Statistics
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Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-48232-8_12
Reference13 articles.
1. Palgrave Studies in Digital Business & Enabling Technologies;S Aziz,2019
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3. Chavez-Demoulin, V., Embrechts, P., Hofert, M.: An extreme value approach for modeling operational risk losses depending on covariates. J. Risk Insur. 83(3), 735–776 (2016). http://www.jstor.org/stable/43998282
4. Chen, Q., Wen, Y.: A BP-neural network predictor model for operational risk losses of commercial bank. In: Third International Symposium on Information Processing, Qingdao, China, pp. 291–295 (2010). https://doi.org/10.1109/ISIP.2010.43
5. Curti, F., Migueis, M.: Predicting operational loss exposure using past losses. In: Finance and Economics Discussion Series 2016–002. Washington: Board of Governors of the Federal Reserve System (2016). https://doi.org/10.17016/FEDS.2016.002
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