Tina Yener

Ludwig Maximilians University of Munich

Ludwigstr. 33

Munchen, D-80539

Germany

http://www.stat.uni-muenchen.de/

SCHOLARLY PAPERS

3

DOWNLOADS

582

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Operational-Risk Dependencies and the Determination of Risk Capital

Center for Quantitative Risk Analysis (CEQURA) Working Paper No. 3
Number of pages: 35 Posted: 06 Aug 2011
University of Kiel - Institute of Statistics & Econometrics, University of Trento - Department of Economics and Management and Ludwig Maximilians University of Munich
Downloads 337 (90,664)
Citation 2

Abstract:

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Copula, Nonparametric Tail Dependence, Basel II, Loss Distribution Approach

2.

Operational Risk Modeling: An Evaluation of Competing Strategies

CAREFIN Research Paper No. 06/2010
Number of pages: 50 Posted: 30 Mar 2011
University of Trento - Department of Economics and Management, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilians University of Munich
Downloads 245 (127,591)

Abstract:

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Mutual funds, Expense ratios, Price sensitivity

3.

Value-at-Risk and Expected Shortfall for Rare Events

CFS Working Paper No. 2008/14
Posted: 25 Apr 2008
Stefan Mittnik and Tina Yener
University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilians University of Munich

Abstract:

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Operational Risk, Latent Variables, Correlated Events