Multivariate estimation for operational risk with judicious use of extreme value theory.
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| Title: | Multivariate estimation for operational risk with judicious use of extreme value theory. |
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| Authors: | El-Gamal, Mahmoud1 elgamal@rice.edu, Inanoglu, Hulusi2 hulusi.inanoglu@occ.treas.gov, Stengel, Mitch2 mitch.stengel@occ.treas.gov |
| Source: | Journal of Operational Risk. Spring2007, Vol. 2 Issue 1, p21-54. 34p. |
| Database: | Business Source Ultimate |
| ISSN: | 17446740 |
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| DOI: | 10.21314/JOP.2007.025 |
