The Measure of the Operational Risks of the Business Bank Based on Copula

摘要：

The measure of the Operational Risks has always been difficult due to the high number of variables to work with and their complex multivariate distribution. A Copula is a statistic tool which has been recently used in finance to build flexible joint distributions. An empirical example indicates that Copula function can save the risk capital remarkably and the result differs little based on normal Copula and T Copula while it differs remarkably based on the different distribution.

关键词： copula operational risks var ES

作者: DAI Lina

作者单位: The Business School of Zhengzhou University, Henan province, P.R.China, 450001

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 171-174

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）