The Lila distribution and its applications in risk modelling
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Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01400186
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Cited by:
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01491990, HAL.
- Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Post-Print halshs-01491990, HAL.
- Dominique Guegan & Bertrand Hassani & Kehan Li, 2017. "Impact of multimodality of distributions on VaR and ES calculations," Documents de travail du Centre d'Economie de la Sorbonne 17019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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Keywords
probability distribution; parametric distribution; multimodal distribution; operational risk; market risk; pseudo bi-modal distribution;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-12-04 (Risk Management)
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