Preethee Gonpot

University of Mauritius

Reduit, 80837

Mauritius

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Scholarly Papers (1)

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Quantification of Operational Risk: Statistical Insights on Coherent Risk Measures

Journal of Operational Risk, Vol. 14, No. 2, 2019
Number of pages: 22 Posted: 06 Jul 2019
Dany Ng Cheong Vee, Preethee Gonpot and T. V. Ramanathan
Bank of Mauritius, University of Mauritius and Savitribai Phule Pune University (SPPU)
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Abstract:

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operational risk, coherent risk measures, extreme value theory (EVT), loss distribution, value-at-risk (VaR), modified expected shortfall (MES).