Second-order expansions of the risk concentration based on CTE
Author:
Funder
NNSF of China
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference15 articles.
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3. Regular Variation;Bingham,1987
4. EVT-based estimation of risk capital and convergence of high quantile;Degen;Advances in Applied Probability,2008
5. The quantitative modeling of operational risk: between g-and-h and EVT;Degen;Astin Bulletin,2007
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