Natalia Nolde

Statistics Department

2329 West Mall

Vancouver, British Columbia BC V6T 1Z4

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

52

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Conditional Extremes in Asymmetric Financial Markets

Forthcoming, Journal of Business and Economic Statistics
Number of pages: 29 Posted: 02 May 2018
Natalia Nolde and Jinyuan Zhang
Statistics Department and INSEAD
Downloads 51 (404,119)

Abstract:

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Systemic Risk; CoVaR; Risk Contagion; Backtesting; Conditional Extremes; Asymmetry; Bivariate Skew-Elliptical Distribution; Bivariate Skew-T Distribution; Heavy Tails; Multivariate Regular Variation

2.

On the Selection of Loss Severity Distributions to Model Operational Risk

Journal of Operational Risk, Forthcoming
Number of pages: 22 Posted: 13 Sep 2019
Daniel Hadley, Harry Joe and Natalia Nolde
University of British Columbia (UBC), University of British Columbia - Department of Statistics and Statistics Department
Downloads 1 (682,816)
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Abstract:

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operational risk, advanced measurement approach (AMA), loss distribution approach (LDA), regulatory capital (RC)