The quantitative modeling of operational risk: Between G-and-H and EVT

ASTIN Bulletin

Volumn 37, Issue 2, 2007, Pages 265-291

  Degen, Matthias ^a   Embrechts, Paul ^a   Lambrigger, Dominik D ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Extreme value theory; G and h distribution; Hill estimator; LDA; Operational risk; Peaks over threshold; Second order regular variation; Subadditivity; Value at risk

Indexed keywords

EID: 37449015103     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.37.2.2024067     Document Type: Article

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