Articles by Marius Pfeuffer
Composite Tukey-type distributions with application to operational risk management
This paper investigates composite Tukey-type distributions and puts forward a new composite model, the improved flexibility of which is demonstrated.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…