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An Alternative Frequency Dependence Model and its Applications
frequency dependence among different risk types. The operational risk diversification effect is illustrated ... dependency modeled by the bivariate quasi-negative binomial distribution under a framework of Monte Carlo simulation ...- Authors: SHUBIAO LI
- Date: Mar 2011
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Enterprise Risk Management; Finance & Investments>Banking - Finance & Investments; Modeling & Statistical Methods