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dc.contributor.author
Degen, Matthias
dc.contributor.author
Embrechts, Paul
dc.date.accessioned
2017-06-08T20:10:40Z
dc.date.available
2017-06-08T20:10:40Z
dc.date.issued
2008
dc.identifier.issn
1475-6064
dc.identifier.issn
0001-8678
dc.identifier.other
10.1239/aap/1222868182
dc.identifier.uri
http://hdl.handle.net/20.500.11850/11191
dc.language.iso
en
dc.publisher
Applied Probability Trust
dc.subject
Extreme value theory
dc.subject
g-and-h distribution
dc.subject
operational risk
dc.subject
peaks over threshold
dc.subject
penultimate approximation
dc.subject
second-order regular variation
dc.subject
slow variation
dc.subject
value at risk
dc.title
EVT-based estimation of risk capital and convergence of high quantiles
dc.type
Journal Article
ethz.journal.title
Advances in Applied Probability
ethz.journal.volume
40
ethz.journal.issue
3
ethz.journal.abbreviated
Adv. Appl. Prob.
ethz.pages.start
696
ethz.pages.end
715
ethz.notes
Received 28 February 2008. revision received 16 April 2008.
ethz.identifier.nebis
000024913
ethz.publication.place
Sheffield
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-08T20:10:47Z
ethz.source
ECIT
ethz.identifier.importid
imp59364bff1728162193
ethz.ecitpid
pub:22322
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-14T18:23:39Z
ethz.rosetta.lastUpdated
2018-10-01T06:03:45Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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