Following the three-pillar structure of the Basel II/III framework, the article categorises and surveys 279 academic papers on operational risk in financial institutions, covering the period from 1998 to 2014. In doing so, different lines of both theoretical and empirical directions for research...

Value-at-Risk (VaR) is a well-accepted risk metric in modern quantitative risk management (QRM). The classical Monte Carlo simulation (MCS) approach, denoted henceforth as the classical approach, assumes the independence of loss severity and loss frequency. In practice, this assumption does not...

Expected Shortfall (ES) is the average return on a risky asset conditional on the return being below some quantile of its distribution, namely its Value-at-Risk (VaR). The Basel III Accord, which will be implemented in the years leading up to 2019, places new attention on ES, but unlike VaR,...

The subject of unobservable variables encompasses this thesis. These latent (i.e., unobservable) variables must be inferred using statistical models or observable proxies. The objectives of my doctoral thesis are to develop and test new statistical models to infer these variables and link them...

In the literature, there is no consensus as to which Value-at-Risk forecasting model is the best for measuring market risk in banks. In the study an analysis of Value-at-Risk forecasting model quality over varying economic stability periods for main indices from stock exchanges was conducted....

In the contemporary economic reality and organization's activities aiming at effectiveness and efficiency of functioning, a lot of significance is attached to a financial audit as an important instrument for protecting the organization against the risk factors. The aim of this article is to...

There is an increasing influence of machine learning in business applications, with many solutions already implemented and many more being explored. Since the global financial crisis, risk management in banks has gained more prominence, and there has been a constant focus around how risks are...

An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms which are well suited to analyze the...

Contingent Convertible (CoCo) is a hybrid debt issued by banks with a specific feature forcing its conversion to equity in the event of the bank’s financial distress. CoCo carries two major risks: the risk of default, which threatens any type of debt instrument, plus the exclusive risk of...