Konstantin Pavlikov

University of Florida - Department of Industrial and Systems Engineering

303 Weil Hall

Gainesville, FL 32611-6595

United States

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Scholarly Papers (1)

Estimation of Truncated Data Samples in Operational Risk Modeling

Number of pages: 32 Posted: 27 Dec 2012 Last Revised: 23 Apr 2014
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
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Operational risk, VaR, Censored data, Truncation, Method of moments, Maximum likelihood

Estimation of Truncated Data Samples in Operational Risk Modeling

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 613-640, 2016
Number of pages: 28 Posted: 09 Aug 2016
EY, University of Florida - Department of Industrial and Systems Engineering, University of Florida and Federal Reserve Banks - Federal Reserve Bank of Richmond
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