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Fat tails, expected shortfall and the Monte Carlo method : a note
Brunner, Michael; Piacenza, Fabio; Monti, Fabio; … - In: The journal of operational risk 4 (2009/10) 1, pp. 81-88
Persistent link: https://www.econbiz.de/10003848819
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Operational risk quantification using extreme value theory and copulas : from theory to practice
Gourier, Elise; Farkas, Walter; Abbate, Donato - In: The journal of operational risk 4 (2009/10) 3, pp. 3-26
Persistent link: https://www.econbiz.de/10003900825
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A modified Panjer algorithm for operational risk capital calculations
Guégan, Dominique; Hassani, Bertrand K. - In: The journal of operational risk 4 (2009/10) 4, pp. 53-72
Persistent link: https://www.econbiz.de/10003930046
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Combining operational loss data with expert opinions through advanced credibility theory
Agostini, Alessandra; Talamo, Paolo; Vecchione, Vittorio - In: The journal of operational risk 5 (2010/11) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10003971938
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Evaluation of parameter risk via first-order approximation of distortion risk measures
Erdman, Donald; Major, Steven; Rioux, Jacques - In: The journal of operational risk 5 (2010/11) 1, pp. 29-46
Persistent link: https://www.econbiz.de/10003971940
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Calculation of aggregate loss distributions
Shevchenko, Pavel V. - In: The journal of operational risk 5 (2010/11) 2, pp. 3-40
Persistent link: https://www.econbiz.de/10003996356
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A practical application of extreme value theory to operational risk in banks
Dahen, Hela; Dionne, Georges; Zajdenweber, Daniel - In: The journal of operational risk 5 (2010/11) 2, pp. 63-78
Persistent link: https://www.econbiz.de/10003996359
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The measurement of capital for operational risk in Taiwanese commercial banks
Lee, Wo-chiang; Fang, Chiang-jye - In: The journal of operational risk 5 (2010/11) 2, pp. 79-102
Persistent link: https://www.econbiz.de/10003996361
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Recursions and fast Fourier transforms for certain bivariate compound distributions
Tao, Jin; Ren, Jiandong - In: The journal of operational risk 5 (2010/11) 4, pp. 19-33
Persistent link: https://www.econbiz.de/10008823252
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The calculation of minimum regulatory capital using single-loss approximations
Degen, Matthias - In: The journal of operational risk 5 (2010/11) 4, pp. 3-17
Persistent link: https://www.econbiz.de/10008823253