Operational risk quantified with spectral risk measures: a refined closed-form approximation-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Operational risk quantified with spectral risk measures: a refined closed-form approximation

Published:2019-01-25 Issue:7 Volume:19 Page:1221-1242
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Tong Bin¹,Diao Xundi²^ORCID,Wu Chongfeng²

Affiliation:

1. School of Finance, Shanghai Lixin University of Accounting and Finance, No. 995, Shangchuan Road, Shanghai 201209, People's Republic of China

2. Antai College of Economics and Management, Shanghai Jiao Tong University, No. 1954, HuaShan Road, Shanghai 200030, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1564066

Reference51 articles.

1. Spectral measures of risk: A coherent representation of subjective risk aversion

2. Higher-order expansions for compound distributions and ruin probabilities with subexponential claims

3. Third order extended regular variation

4. Coherent Measures of Risk

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A cross-institutional database of operational risk external loss events in Chinese banking sector 1986–2023;Scientific Data;2024-08-28

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP