Multivariate estimation for operational risk with judicious use of extreme value theory

2007 ◽  
Vol 2 (1) ◽  
pp. 21-54 ◽  
Author(s):  
Mahmoud El-Gamal ◽  
Hulusi Inanoglu ◽  
Mitch Stengel
Keyword(s):  
Extreme Value Theory ◽  
Operational Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Multivariate Estimation

scholarly journals Application of Extreme Value Theory for Operational Risk Measurement

2008 ◽  
Vol 19 (2) ◽  
pp. 161-182
Author(s):  
Hyunjoong Kim ◽  
조상희 ◽  
문지영 ◽  
임종호 ◽  
김아현 ◽  
...  
Keyword(s):  
Extreme Value Theory ◽  
Operational Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Risk Measurement

A practical application of extreme value theory to operational risk in banks

2010 ◽  
Vol 5 (2) ◽  
pp. 63-78 ◽  
Author(s):  
Hela Dahen ◽  
Georges Dionne ◽  
Daniel Zajdenweber
Keyword(s):  
Extreme Value Theory ◽  
Operational Risk ◽  
Value Theory ◽  
Extreme Value ◽  
Practical Application
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