2 papers
q-fin.RM2021
On the Selection of Loss Severity Distributions to Model Operational Risk
Daniel Hadley, Harry Joe, Natalia Nolde
Accurate modeling of operational risk is important for a bank and the finance industry as a whole to prepare for potentially catastrophic losses. One approach to modeling operation…
math.ST2020
Linking representations for multivariate extremes via a limit set
Natalia Nolde, Jennifer L. Wadsworth
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random…