Rodrigo Targino

University College London - Department of Statistical Science

1-19 Torrington Place

London, WC1 7HB

United Kingdom

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Scholarly Papers (1)

Understanding Operational Risk Capital Approximations: First and Second Orders

Number of pages: 34 Posted: 05 Jun 2017
Gareth Peters, Rodrigo Targino and Pavel V. Shevchenko
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, University College London - Department of Statistical Science and Macquarie University
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Abstract:

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Basel II/III; Capital Approximation; Loss Distributional Approach; Capital Approximation; Value-at-Risk; Expected Shortfall; Spectral Risk Measure; Subexponential; Regularly Varying