Connection Parameters of Heavy-tailed Operational Risk Measurement Model and Management Model
In order to connect the heavy-tailed operational risk measurement model with management model, a model identifying the crucial supervising parameters of operational risk is built after the heavy-tailed operational VaR’s sensitivity is theoretically researched by the elasticity analysis method. Furth...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Atlantis Press
2016-09-01
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| Series: | Journal of Risk Analysis and Crisis Response (JRACR) |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/25863591.pdf |