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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"The journal of operational risk"
~subject:"ARCH model"
~subject:"Basel Accord"
~subject:"Measurement"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH model
Basel Accord
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Risikomaß
99
Risk measure
99
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42
Theory
42
Operational risk
38
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38
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McAleer, Michael
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9
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7
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Astin bulletin : the journal of the International Actuarial Association
Econometric Institute research papers
The journal of operational risk
Insurance / Mathematics & economics
118
Journal of banking & finance
59
Journal of risk
56
Finance research letters
44
Risks : open access journal
43
European journal of operational research : EJOR
36
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31
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28
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International review of economics & finance : IREF
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19
Research paper series / Swiss Finance Institute
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Finance and stochastics
17
Mathematics and financial economics
17
Journal of international financial markets, institutions & money
16
Computational economics
15
Journal of econometrics
15
Journal of risk management in financial institutions
15
The European journal of finance
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Scandinavian actuarial journal
14
Applied economics letters
13
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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Research in international business and finance
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Working paper
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
45
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1
Semi-nonparametric estimation of operational risk capital with extreme loss events
Chen, Heng Z.
;
Cosslett, Stephen R.
- In:
The journal of operational risk
19
(
2024
)
1
,
pp. 51-86
Persistent link: https://www.econbiz.de/10014490229
Saved in:
2
How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity
Zhu, Xiaoqian
;
Wang, Yinghui
;
Liu, Mingxi
;
Li, Jianping
- In:
The journal of operational risk
18
(
2023
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014490122
Saved in:
3
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco
;
Hambuckers, Julien
- In:
The journal of operational risk
17
(
2022
)
1
,
pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
Saved in:
4
Measurement of operational risk regulatory capital in the banking sector : developed countries versus emerging markets
Hassanein, Medhat
;
Bouaddi, Mohammed
;
Karim, Talha
- In:
The journal of operational risk
16
(
2021
)
1
,
pp. 12-43
Persistent link: https://www.econbiz.de/10013168027
Saved in:
5
Extreme value theory for operational risk in insurance : a case study
Vyskočil, Michal
;
Koudelka, Jiří
- In:
The journal of operational risk
16
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013177451
Saved in:
6
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
7
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
8
Qualification of operational risk : statistical insights on coherent risk measures
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
; …
- In:
The journal of operational risk
14
(
2019
)
2
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012052410
Saved in:
9
A conditional equity risk model for regulatory assessment
Floryszczak, A.
;
Lévy Véhel, Jacques
;
Majri, M.
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
1
,
pp. 217-242
Persistent link: https://www.econbiz.de/10012105450
Saved in:
10
Measuring expected shortfall under semi-parametric expected shortfall approaches : a case study of selected Southern European/Mediterranean countries
Radivojević, Nikola
;
Bojić, Borislav
;
Lakićević, Marija
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 43-76
Persistent link: https://www.econbiz.de/10012157429
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