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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
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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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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
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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
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A review of the state of the art in quantifying operational risk
Benito, Sonia; Martín, Carmen López - In: The journal of operational risk 13 (2018) 4, pp. 89-129
Persistent link: https://www.econbiz.de/10011976061
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Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57
Persistent link: https://www.econbiz.de/10014490082
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A comparison of alternative mixing models for external data in operational risk
Torresetti, Roberto; Le Pera, Giacomo - In: The journal of operational risk 10 (2015) 4, pp. 1-21
Persistent link: https://www.econbiz.de/10011442580
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Optimal B-robust posterior distributions for operational risk
Danesi, Ivan Luciano; Piacenza, Fabio; Ruli, Erlis; … - In: The journal of operational risk 11 (2016) 4, pp. 35-54
Persistent link: https://www.econbiz.de/10013177177
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Bayesian operational risk models
Figini, Silvia; Gao, Lijun; Giudici, Paolo - In: The journal of operational risk 10 (2015) 2, pp. 45-60
Persistent link: https://www.econbiz.de/10011298859
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Evidence, estimates and extreme values from Austria
Kerbl, Stefan - In: The journal of operational risk 9 (2014/2015) 3, pp. 89-123
Persistent link: https://www.econbiz.de/10013262966