EVT-based estimation of risk capital and convergence of high quantiles
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Author / Producer
Date
2008
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
40 (3)
Pages / Article No.
696 - 715
Publisher
Applied Probability Trust
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Extreme value theory; g-and-h distribution; operational risk; peaks over threshold; penultimate approximation; second-order regular variation; slow variation; value at risk
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received 28 February 2008. revision received 16 April 2008.