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operational risk sign in to follow this
compound Poisson process sign in to follow this
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Practical Operational Risk
Year Of Publication: 2007
Month Of Publication: January
Pages: 25
Download Count: 7
View Count: 1126
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 11-3-2012
Publisher: Administrator
Summary
In this paper we analyze the class of parametric distributions which better fit the observed empirical loss data classified by business lines. Particular attention is devoted to the fitting of the tail distribution of the losses.
Author(s)
Giacometti, Rosella Sign in to follow this author
Rachev, Svetlozar Sign in to follow this author
Chernobai, Anna Sign in to follow this author
Consigli, Giorgio Sign in to follow this author
Bertocchi, Marida Sign in to follow this author
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