Bayesian Copulae Distributions, with Application to Operational Risk Management

L Dalla Valle

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
Pages (from-to)95-115
Number of pages0
JournalMethodology and Computing in Applied Probability
Volume11
Issue number1
DOIs
Publication statusPublished - Mar 2009

Keywords

  • Bayesian normal copula
  • Bayesian Student's t copula
  • Expected shortfall
  • Loss distribution approach
  • Markov chain Monte Carlo
  • Operational risk
  • Value at risk

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