مرکز منطقه ای اطلاع رساني علوم و فناوري - Quantitative models for operational risk: Extremes, dependence and aggregation

Title of article :

Quantitative models for operational risk: Extremes, dependence and aggregation

Author/Authors :

V. Chavez-Demoulin، نويسنده , , P. Embrechts، نويسنده , , J. Ne?lehov?، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2635

To page :

2658

Keywords :

Copula , Fre´chet class problems , Mass transportation , Point process , generalized Pareto distribution , Risk aggregation , Peaks over threshold , Statistics of extremes , Dependence , Operational risk

Journal title :

Journal of Banking and Finance

Serial Year :

2006

Journal title :

Journal of Banking and Finance

Record number :

193923

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=193923