Infinite mean models and the LDA for operational risk

Details

Serval ID
serval:BIB_4080B2B7C58B
Type
Article: article from journal or magazin.
Collection
Publications
Title
Infinite mean models and the LDA for operational risk
Journal
Journal of Operational Risk
Author(s)
Chavez-Demoulin V., Embrechts P., Neslehova J.
ISSN
1744-6740
Publication state
Published
Issued date
2006
Peer-reviewed
Oui
Volume
1
Number
1
Pages
3-25
Language
english
Abstract
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.
Keywords
AMA, coherence, diversification, extremes, infinite mean models, LDA, operational risk, Pareto, subadditivity
Web of science
Create date
23/08/2011 9:02
Last modification date
20/08/2019 14:39
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