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Tesi etd-11012007-192047


Thesis type
Tesi di laurea specialistica
Author
RACHEDI, OMAR
URN
etd-11012007-192047
Title
Multivariate Models for Operational Risk : a Copulas Approach using Extreme Value Theory
Struttura
ECONOMIA
Corso di studi
SCIENZE ECONOMICHE
Supervisors
Relatore Dott. Bianchi, Carlo Luigi
Parole chiave
  • copulas
  • extreme value theory
  • operational risk
Data inizio appello
22/11/2007;
Consultabilità
Parziale
Data di rilascio
22/11/2047
Riassunto analitico
This thesis involves a multivariate approach to Operational Risk Management (ORM) using Copulas, a way of describing dependence in a non-linear wise, and Extreme Value Theory, in order to provide a robust estimation of risk measures.
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