Estimation of operational value-at-risk in the presence of minimum collection threshold: an empirical study

Anna Chernobai, Christian Menn, Svetlozar T. Rachev, Stefan Trück

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Original language	English
Title of host publication	Model risk
Subtitle of host publication	identification, measurement and management
Editors	Harald Scheule, Daniel Rösch
Place of Publication	London
Publisher	Risk Books
Pages	359-419
Number of pages	61
ISBN (Print)	9781906348250
Publication status	Published - 2010

Cite this

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title = "Estimation of operational value-at-risk in the presence of minimum collection threshold: an empirical study",

author = "Anna Chernobai and Christian Menn and Rachev, {Svetlozar T.} and Stefan Tr{\"u}ck",

year = "2010",

language = "English",

isbn = "9781906348250",

pages = "359--419",

editor = "Harald Scheule and Daniel R{\"o}sch",

booktitle = "Model risk",

publisher = "Risk Books",

}

Estimation of operational value-at-risk in the presence of minimum collection threshold: an empirical study. / Chernobai, Anna; Menn, Christian; Rachev, Svetlozar T. et al.
Model risk: identification, measurement and management. ed. / Harald Scheule; Daniel Rösch. London: Risk Books, 2010. p. 359-419.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

TY - CHAP

T1 - Estimation of operational value-at-risk in the presence of minimum collection threshold

T2 - an empirical study

AU - Chernobai, Anna

AU - Menn, Christian

AU - Rachev, Svetlozar T.

AU - Trück, Stefan

PY - 2010

Y1 - 2010

M3 - Chapter

SN - 9781906348250

SP - 359

EP - 419

BT - Model risk

A2 - Scheule, Harald

A2 - Rösch, Daniel

PB - Risk Books

CY - London

ER -