Open AccessModeling multivariate operational losses via copula-based distributions with g-and-h marginals
Author(s) -
Marco Bee,
Julien Hambuckers
Publication year - 2022
Publication title -
the journal of operational risk
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.173
H-Index - 12
eISSN - 1755-2710
pISSN - 1744-6740
DOI - 10.21314/jop.2021.016
Subject(s) - copula (linguistics) , vine copula , operational risk , multivariate statistics , estimator , univariate , econometrics , multivariate t distribution , statistics , tail dependence , mathematics , multivariate normal distribution , joint probability distribution , computer science , risk management , economics , management
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