Copulae and operational risks

International Journal of Risk Assessment and Management

Volumn 9, Issue 3, 2008, Pages 238-257

  Fantazzini, Dean ^a   Dalla Valle, Luciana ^a   Giudici, Paolo ^a  

^a UNIVERSITY OF PAVIA   (Italy)

Author keywords

Copulae; Expected shortfall; Operational risks; Two step estimation; Value at risk; VaR

Indexed keywords

EID: 48749116707     PISSN: 14668297     EISSN: 17415241     Source Type: Journal    
DOI: 10.1504/IJRAM.2008.019743     Document Type: Review

References (14)

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