Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice-Reference-Cited by-同舟云学术

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Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice

Published:2008 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Abbate Donato,Gourier Elise,Farkas Walter

Publisher

Elsevier BV

Reference32 articles.

1. Asymptotic Theory of Certain Goodness of Fit Criteria based on stochastic processes;T W Anderson;Annals of Mathematical Statistics,1952

2. Residual life time at great age;A A Balkema;Annals of Probability,1974

3. Models for Construction of Multivariate Dependence;D Berg;Norsk Regnesentral,2007

4. Multivariate models for operational risk

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