Extremal Events in a Bank Operational Losses
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More about this item
KeywordsBank operational loss; value at risk; Pareto distribution; insurance premium; extremal event;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-BAN-2010-03-28 (Banking)
- NEP-RMG-2010-03-28 (Risk Management)
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