Thesis etd-11012007-192047 |
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Thesis type
Tesi di laurea specialistica
Author
RACHEDI, OMAR
URN
etd-11012007-192047
Thesis title
Multivariate Models for Operational Risk : a Copulas Approach using Extreme Value Theory
Department
ECONOMIA
Course of study
SCIENZE ECONOMICHE
Supervisors
Relatore Dott. Bianchi, Carlo Luigi
Keywords
- copulas
- extreme value theory
- operational risk
Graduation session start date
22/11/2007
Availability
Withheld
Release date
22/11/2047
Summary
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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