Código QR (código de barras bidimensional)

Practice Oriented and Monte Carlo Based Estimation of the Value-at-Risk for Operational Risk Measurement

We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be analytically d...

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Principais autores: Francesca Greselin, Fabio Piacenza, Ričardas Zitikis
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2019-05-01
Serier:Risks
Fag:
advanced measurement approach
confidence interval
Monte Carlo
operational risk
value-at-risk
Online adgang:https://www.mdpi.com/2227-9091/7/2/50
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