Private Bag X6001
Faculty of Economic and Management Sciences
Potchefstroom, Northwest 2520
South Africa
North-West University
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id3841539.pdf Size: 361K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
expected portfolio profit; expected loss; optimal long–short allocation; reward and risk contributions; linear programming portfolio solutions.
File name: SSRN-id2802544.pdf Size: 1496K
loss distribution approach, severity distribution estimation, aggregate loss distribution estimation, combining historical data with scenario information, measures of agreement
File name: SSRN-id2795027.pdf Size: 1128K
compound distribution, quantile approximation, loss distribution approach (LDA), operational risk, single-loss approximation, perturbative approximation
