Donato Abbate

Deloitte AG, Risk and Performance Management Group

General Guisan-Quai 38

Zurich, 8022

Switzerland

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Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice

Journal of Operational Risk, 3 (2009), 1--24.
Number of pages: 30 Posted: 15 Jul 2008 Last Revised: 27 Nov 2013
Donato Abbate, Elise Gourier and Walter Farkas
Deloitte AG, Risk and Performance Management Group, ESSEC Business School and University of Zurich - Department of Banking and Finance
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Abstract:

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Extreme Value Theory, Copula Theory, Value-at-Risk, Sub-additivity, Coherence