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Infinite-mean models and the LDA for operational risk
| Content Provider | Semantic Scholar |
|---|---|
| Author | Neslehová, Johanna Embrechts, P. Chavez-Demoulin, Val'erie |
| Copyright Year | 2006 |
| Abstract | Due to published statistical analyses of operational risk data, methodological approaches to the AMA modeling of operational risk can be discussed more in detail. In this paper we raise some issues concerning correlation (or diversification) effects, the use of extreme value theory and the overall quantitative risk management consequences of extremely heavy-tailed data. We especially highlight issues around infinite mean models. Besides methodological examples and simulation studies, the paper contains indications for further research. |
| Starting Page | 3 |
| Ending Page | 25 |
| Page Count | 23 |
| File Format | PDF HTM / HTML |
| DOI | 10.21314/JOP.2006.001 |
| Volume Number | 1 |
| Alternate Webpage(s) | http://www.gloriamundi.org/picsresources/nec_imm.pdf |
| Alternate Webpage(s) | https://people.math.ethz.ch/~embrecht/ftp/manuscript.pdf |
| Alternate Webpage(s) | http://www.math.ethz.ch/~baltes/ftp/manuscript.pdf |
| Alternate Webpage(s) | http://www.math.ethz.ch/~embrecht/ftp/manuscript.pdf |
| Alternate Webpage(s) | https://doi.org/10.21314/JOP.2006.001 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |