| Autor: |
Yong Li, Feng Ji, Cheng Peng, Jiashan Song |
| Rok vydání: |
2009 |
| Předmět: |
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| Zdroj: |
Communications in Computer and Information Science ISBN: 9783642022975 |
| DOI: |
10.1007/978-3-642-02298-2_77 |
| Popis: |
The financial institutions and supervision institutions have all agreed on strengthening the measurement and management of operational risks. This paper attempts to build a model on the loss of operational risks basing on Peak Over Threshold model, emphasizing on weighted least square, which improved Hill’s estimation method, while discussing the situation of small sample, and fix the sample threshold more objectively basing on the media-published data of primary banks loss on operational risk from 1994 to 2007. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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