Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.
The modelling of operational risk: Experience with the analysis of the data collected by the B asel C ommittee
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
cs.CE 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Bayesian Extreme Value Theory with Hawkes-AR-Gumbel Dependence for Extreme CVaR Estimation in Operational Risk
Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.