A study of the impact of severity correlation on operational VaR
碩士 === 東吳大學 === 財務工程與精算數學系 === 99 === Basel Committee on Banking Supervision (BCBS) publish the second edition of Basel Capital Accord (Basel II) in 2004. Basel II take operational risk into account, and propose the concept of quantifying operational risk.In Basel II,Loss Distribution Approach (LDA)...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2011
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/69947623006607955700 |