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)
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