Narrow search
Showing 1 - 10 of 347
Cover Image
Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study
Chernobai, Anna; Menn, Christian; Rachev, Svetlozar T.; … - 2010
The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss...
Persistent link: https://www.econbiz.de/10010301729
Cover Image
Estimation of operational value-at-risk in the presence of minimum collection threshold : an empirical study
Chernobai, Anna S.; Menn, Christian; Račev, Svetlozar T.; … - 2010
The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss...
Persistent link: https://www.econbiz.de/10008654271
Cover Image
Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study
Chernobai, Anna; Menn, Christian; Rachev, Svetlozar T.; … - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2010
The recently finalized Basel II Capital Accord requires banks to adopt a procedure to estimate the operational risk capital charge. Under the Advanced Measurement Approaches, that are currently mandated for all large internationally active US banks, require the use of historic operational loss...
Persistent link: https://www.econbiz.de/10009642595
Cover Image
Empirical examination of operational loss distributions
Račev, Svetlozar T.; Chernobai, Anna; Menn, Christian - In: Perspectives on operations research : essays in honor …, (pp. 381-401). 2006
Persistent link: https://www.econbiz.de/10003487370
Cover Image
Spot and derivative pricing in the EEX power market
Bierbrauer, Michael; Menn, Christian; Račev, Svetlozar T. - In: Journal of banking & finance 31 (2007) 11, pp. 3462-3485
Persistent link: https://www.econbiz.de/10003577501
Cover Image
Risk measures and portfolio selection
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765462
Cover Image
Black-Scholes option pricing model
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765707
Cover Image
Introduction to stochastic processes
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765840
Cover Image
Smoothly truncated stable distributions, GARCH-models, and option pricing
Menn, Christian; Račev, Svetlozar T. - In: Mathematical methods of operations research 69 (2009) 3, pp. 411-438
Persistent link: https://www.econbiz.de/10003858257
Cover Image
Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005
Persistent link: https://www.econbiz.de/10002817530