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Modeling operational risk data reported above a time-varying threshold
Shevchenko, Pavel V.; Temnov, Grigory - In: The journal of operational risk 4 (2009/10) 2, pp. 19-42
Persistent link: https://www.econbiz.de/10003883151
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Comparison of tail performance of the Champernowne transformed kernel density estimator, the generalized Pareto distribution and the g-and-h distribution
Buch-Kromann, Tine - In: The journal of operational risk 4 (2009/10) 2, pp. 43-67
Persistent link: https://www.econbiz.de/10003883154
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Dynamic operational risk : modeling dependence and combining different sources of information
Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. - In: The journal of operational risk 4 (2009/10) 2, pp. 69-104
Persistent link: https://www.econbiz.de/10003883157
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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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Estimating the lognormal-gamma model of operational risk using the Markov chain Monte Carlo method
Ergashev, Bakhodir - In: The journal of operational risk 4 (2009/10) 1, pp. 35-57
Persistent link: https://www.econbiz.de/10003848811
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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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Can the single-loss approximation method compete with the standard monte carlo simulation technique?
Hess, Christian - In: The journal of operational risk 6 (2011) 2, pp. 31-43
Persistent link: https://www.econbiz.de/10009236372
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Rapidly bounding the exceedance probabilities of high aggregate losses
Gollini, Isabella; Rougier, Jonathan - In: The journal of operational risk 11 (2016) 3, pp. 97-116
Persistent link: https://www.econbiz.de/10013177167
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Critical variables in the implementation of a risk-based internal audit : a theoretical and empirical investigation of Greek companies
Lois, Petros; Drogalas, George; Petridis, Konstantinos; … - In: The journal of operational risk 15 (2020) 4, pp. 15-36
Persistent link: https://www.econbiz.de/10013177405
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The role of management accounting practices in operational risk management : the case of Palestinian commercial banks
Muhtaseb, Hind; Eleyan, Derar - In: The journal of operational risk 16 (2021) 4, pp. 45-63
Persistent link: https://www.econbiz.de/10013177465