EVT-based estimation of risk capital and convergence of high quantiles
Publication status
publishedJournal / series
Advances in applied probabilityVolume
Pages
Publisher
Applied Probability TrustSubject
Extreme value theory; g-and-h distribution; operational risk; peaks over threshold; penultimate approximation; second-order regular variation; slow variation; value at riskOrganisational unit
03288 - Embrechts, Paul
Notes
Received 28 February 2008. revision received 16 April 2008.More
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