Quantitative models for operational risk: Extremes, dependence and aggregation

Journal of Banking and Finance

Volumn 30, Issue 10, 2006, Pages 2635-2658

  Chavez Demoulin, V ^a   Embrechts, P ^a   Neslehova J ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Copula; Dependence; Fr chet class problems; Generalized Pareto distribution; Mass transportation; Operational risk; Peaks over threshold; Point process; Risk aggregation; Statistics of extremes

Indexed keywords

EID: 33747340265     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.11.008     Document Type: Article

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