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Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter; Hu, Jiaqi - In: The journal of operational risk 14 (2019) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
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Shapley allocation, diversification and services in operational risk
Mitic, Peter; Hassani, Bertrand - In: The journal of operational risk 13 (2018) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011848894
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Credible value-at-risk
Mitic, Peter - In: The journal of operational risk 18 (2023) 4, pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
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Correlations in operational risk stress testing : use and abuse
Mitic, Peter - In: The journal of operational risk 17 (2022) 2, pp. 1-39
Persistent link: https://www.econbiz.de/10014546262