In operational risk measurement, the estimation of severity distribution parameters is the main driver of capital estimates, yet this remains a nontrivial challenge for many reasons. Maximum ...
Maximum likelihood estimation of the parameters of a statistical model involves maximizing the likelihood or, equivalently, the log likelihood with respect to the parameters. The parameter values at ...
Two forms of CoVaR have recently been introduced in the literature for measuring systemic risk, differing on whether or not the conditioning is on a set of measure zero. We focus on the former, and ...
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