[图书][B] Distributions for modeling location, scale, and shape: Using GAMLSS in R
This is a book about statistical distributions, their properties, and their application to
modelling the dependence of the location, scale, and shape of the distribution of a response …
modelling the dependence of the location, scale, and shape of the distribution of a response …
[图书][B] Skew-elliptical distributions and their applications: a journey beyond normality
MG Genton - 2004 - books.google.com
This book reviews the state-of-the-art advances in skew-elliptical distributions and provides
many new developments in a single volume, collecting theoretical results and applications …
many new developments in a single volume, collecting theoretical results and applications …
[PDF][PDF] Financial Economics, Fat-Tailed Distributions.
M Haas, C Pigorsch - Encyclopedia of Complexity and Systems …, 2009 - academia.edu
This article reviews some of the most important concepts and distributional models that are
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …
used in empirical finance to capture the (almost) ubiquitous stochastic properties of returns …
Tail conditional expectations for elliptical distributions
ZM Landsman, EA Valdez - North American Actuarial Journal, 2003 - Taylor & Francis
Significant changes in the insurance and financial markets are giving increasing attention to
the need for developing a standard framework for risk measurement. Recently, there has …
the need for developing a standard framework for risk measurement. Recently, there has …
An econometric analysis of emission allowance prices
MS Paolella, L Taschini - Journal of Banking & Finance, 2008 - Elsevier
Knowledge of the statistical distribution of the prices of emission allowances, and their
forecastability, are crucial in constructing, among other things, purchasing and risk …
forecastability, are crucial in constructing, among other things, purchasing and risk …
A tale of tails: an empirical analysis of loss distribution models for estimating operational risk capital
K Dutta, J Perry - 2006 - papers.ssrn.com
Operational risk is being recognized as an important risk component for financial institutions
as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risk …
as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risk …
[图书][B] Fundamental aspects of operational risk and insurance analytics: A handbook of operational risk
MG Cruz, GW Peters, PV Shevchenko - 2015 - books.google.com
A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …
operational risk Providing a complete overview of operational risk modeling and relevant …
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
We introduce and explore Gini-type measures of risk and variability, and develop the
corresponding economic capital allocation rules. The new measures are coherent, additive …
corresponding economic capital allocation rules. The new measures are coherent, additive …
[图书][B] Intermediate probability: A computational approach
MS Paolella - 2007 - books.google.com
Intermediate Probability is the natural extension of the author's Fundamental Probability. It
details several highly important topics, from standard ones such as order statistics …
details several highly important topics, from standard ones such as order statistics …
Asymmetric power distribution: Theory and applications to risk measurement
I Komunjer - Journal of applied econometrics, 2007 - Wiley Online Library
Theoretical literature in finance has shown that the risk of financial time series can be well
quantified by their expected shortfall, also known as the tail value‐at‐risk. In this paper, I …
quantified by their expected shortfall, also known as the tail value‐at‐risk. In this paper, I …