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Simulation of the annual loss distribution in operational risk via Panjer recursions and Volterra integral equations for value-at-risk and expected shortfall estimation (2007)

First Author: Peters Gareth W.

Attributed to: SuSTaIn - Statistics underpinning Science, Technology and Industry funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Type: Journal Article/Review

Volume: 2

Parent Publication: JOURNAL OF OPERATIONAL RISK

Issue: 3

ISSN: 1744-6740