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Model Uncertainty in Operational Risk Modeling
Specifically, for 0 < u < 1, the qf is found by inverting (2.1) and given by F−1 GPD(µ, σ, γ)(u) = µ+ (σ/γ) ... (σ/γ) ( (1− u)−γ − 1) , γ 6= 0, µ− σ log(1− u), γ = 0. (2.4) 2.2 Asymptotic Theorems Suppose X1, .- Authors: Daoping Yu
- Date: Feb 2016
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Topics: Enterprise Risk Management>Operational risks