8 citations · 15 across the 2 of their papers we have counts for
3 papers
q-fin.RM2010
Robust Estimation of Operational Risk
Nataliya Horbenko, Peter Ruckdeschel, Taehan Bae
According to the Loss Distribution Approach, the operational risk of a bank is determined as 99.9% quantile of the respective loss distribution, covering unexpected severe events.…
stat.ME2010★ 7 cited
Yet another breakdown point notion: EFSBP - illustrated at scale-shape models
Peter Ruckdeschel, Nataliya Horbenko
The breakdown point in its different variants is one of the central notions to quantify the global robustness of a procedure. We propose a simple supplementary variant which is use…
q-fin.ST2010★ 8 cited
Robust Estimators in Generalized Pareto Models
Peter Ruckdeschel, Nataliya Horbenko
This paper deals with optimally-robust parameter estimation in generalized Pareto distributions (GPDs). These arise naturally in many situations where one is interested in the beha…