A Collection of Python Functions for Vasicek Distribution
-
Updated
Nov 8, 2020 - Python
#
loss-distribution
Here are 2 public repositories matching this topic...
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
r lda copula value-at-risk risk-management extreme-value-statistics copula-models operational-risk loss-distribution loss-distribution-approach
-
Updated
Mar 4, 2021 - R
Improve this page
Add a description, image, and links to the loss-distribution topic page so that developers can more easily learn about it.
Add this topic to your repo
To associate your repository with the loss-distribution topic, visit your repo's landing page and select "manage topics."