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Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement
Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks : open access journal 7 (2019) 2/50, pp. 1-20
acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement …, where the annual loss distribution cannot be analytically determined in advance. Usually, the frequency and the severity … distributions should be adequately combined and elaborated with Monte Carlo methods, in order to estimate the loss distributions and …
Persistent link: https://www.econbiz.de/10012019128
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On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles
Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
measures are enforced. Moreover, expectiles are in harmony with gain/loss ratios in financial risk management. Expectiles may …
Persistent link: https://www.econbiz.de/10011867427
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Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures
Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18
This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger affects depositors, junior or senior bank creditors, and...
Persistent link: https://www.econbiz.de/10012126479
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Operational resilience disclosures by banks: analysis of annual reports
Leo, Martin - In: Risks : open access journal 8 (2020) 4/128, pp. 1-15
An array of developments impacting the financial services industry, such as increasing complexity, interconnectedness, third party dependencies and digitalization, means operational resilience will remain a significant area of concern for policy makers, investors and customers. The purpose of...
Persistent link: https://www.econbiz.de/10012391018
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A multivariate Mmdel to quantify and mitigate cybersecurity risk
Bentley, Mark; Stephenson, Alec; Toscas, Peter; Zhu, Zili - In: Risks : open access journal 8 (2020) 2/61, pp. 1-20
The cost of cybersecurity incidents is large and growing. However, conventional methods for measuring loss and choosing …
Persistent link: https://www.econbiz.de/10012292946
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Active management of pperational risk in the regimes of the "unknown" : what can machine learning or heuristics deliver?
Milkau, Udo; Bott, Jürgen - In: Risks : open access journal 6 (2018) 2, pp. 1-16
Advanced machine learning has achieved extraordinary success in recent years. “Active” operational risk beyond ex post analysis of measured-data machine learning could provide help beyond the regime of traditional statistical analysis when it comes to the “known unknown” or even the...
Persistent link: https://www.econbiz.de/10011866399
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The cascade Bayesian approach : prior transformation for a controlled integration of internal data, external data and scenarios
Hassani, Bertrand; Renaudin, Alexis - In: Risks : open access journal 6 (2018) 2, pp. 1-17
advanced measurement approach (AMA) must use four different sources of information to assess their operational risk capital … three main quantitative sources available to banks for building the loss distribution are internal loss data, external loss … in the loss distribution approach (LDA) framework through a Bayesian strategy. The integration of the different elements …
Persistent link: https://www.econbiz.de/10011866503
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Uncertainty reduction in operational risk management process
Burstein, Guy; Zuckerman, Inon - In: Risks : open access journal 12 (2024) 5, pp. 1-12
This paper proposes a new framework to reduce the variance and uncertainty in the risk assessment process. Today, this process is susceptible to background noise from sources of human factor biases and erroneous measurements. Our new framework consists of deconstructing the likelihood of failure...
Persistent link: https://www.econbiz.de/10014636602
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A proposed methodology for literature review on operational risk management in banks
Jiravichai, Ajjima; Ruthī Phanomyong - In: Risks : open access journal 10 (2022) 5, pp. 1-18
literature exist that include controversy on the effectiveness of ORM measurement models and ORM data problems. We described how …
Persistent link: https://www.econbiz.de/10013357335
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Sustainable development of entrepreneurship through operational risk management : the role of corporate social responsibility
Karlibaeva, Raya; Volokhina, Vera A.; Gureeva, Elena A.; … - In: Risks : open access journal 12 (2024) 8, pp. 1-28
: The goal of this paper was to study the role of corporate social responsibility (by the examaple of responsible HRM) in the sustainable development of entrepreneurship through operational risk management. The correlation analysis method was used to find a close connection between the number of...
Persistent link: https://www.econbiz.de/10015063672