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Real Output Costs of Financial Crises: A Loss Distribution Approach
Real Output Costs Financial Crises Loss Distribution Approach Risk Management
2012/3/2
The adverse effects of financial crises in terms of output losses or output growth below its potential can be treated like losses from catastrophic events which have a low likelihood but a large impac...
Implementing Loss Distribution Approach for Operational Risk
operational risk loss distribution approach Bayesian inference dependence modeling
2010/10/29
To quantify the operational risk capital charge under the current regulatory framework
for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution
Approach. There are ma...
Estimating the threshold value and loss distribution：Rice damaged by typhoons in Taiwan
Natural disasters generalized Pareto distribution heavy-tailed distribution threshold value
2009/3/4
We apply extreme value theory to determine the over-threshold peaks of the data and then use the Kolmogorv-Smirnov and Anderson-Darling goodness of fit tests to show that the generalized Pareto ...