Infinite mean models and the LDA for operational risk

Détails

ID Serval
serval:BIB_4080B2B7C58B
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Infinite mean models and the LDA for operational risk
Périodique
Journal of Operational Risk
Auteur⸱e⸱s
Chavez-Demoulin V., Embrechts P., Neslehova J.
ISSN
1744-6740
Statut éditorial
Publié
Date de publication
2006
Peer-reviewed
Oui
Volume
1
Numéro
1
Pages
3-25
Langue
anglais
Résumé
Due to published statistical analyses of operational risk data, methodological approaches to the "advanced measurement approach" modeling of operational risk can be discussed in more detail. In this paper we raise some issues concerning correlation (or diversification) effects, the use of extreme value theory and the overall quantitative risk management consequences of extremely heavy-tailed data. We especially highlight issues around infinite-mean models. In addition to methodological examples and simulation studies, the paper contains indications for further research.
Mots-clé
AMA, coherence, diversification, extremes, infinite mean models, LDA, operational risk, Pareto, subadditivity
Web of science
Création de la notice
23/08/2011 8:02
Dernière modification de la notice
20/08/2019 13:39
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