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Estimation of Value-at-Risk Using Mixture Copula Model for Heavy-Tailed Operational Risk Losses in Financial, Insurance & Climatological Data.
Sabyasachi Guharay
KC Chang
Jie Xu
Published in:
FUSION (2018)
Keyphrases
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heavy tailed
statistical methods
risk management
prior knowledge
probability distribution
prior information
data mining techniques
parameter estimation
noisy data
probabilistic model
operational risk
bayesian networks
statistical analysis
bayesian framework