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How to model operational risk if you must

Embrechts, Paul - In: Operations research proceedings 2006 : selected papers …, (pp. 81). 2007

Persistent link: https://www.econbiz.de/10003470262

Special section on operational risk

Cummins, John David (contributor); … - In: Journal of banking & finance 30 (2006) 10, pp. 2599-2658

Persistent link: https://www.econbiz.de/10003376364

Quantitative models for operational risk : extremes, dependence and aggregation

Chavez-Demoulin, V.; Embrechts, Paul; Nešlehová, Johanna - In: Journal of banking & finance 30 (2006) 10, pp. 2635-2658

Persistent link: https://www.econbiz.de/10003376395

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013

Testing for structural changes in exchange rates' dependence beyond linear correlation

Dias, Alexandra; Embrechts, Paul - In: The European journal of finance 15 (2009) 7/8, pp. 619-637

Persistent link: https://www.econbiz.de/10003924421

An academic response to Basel 3.5

Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger; … - In: Risks : open access journal 2 (2014) 1, pp. 25-48

Recent crises in the financial industry have shown weaknesses in the modeling of Risk-Weighted Assets (RWAs). Relatively minor model changes may lead to substantial changes in the RWA numbers. Similar problems are encountered in the Value-at-Risk (VaR)-aggregation of risks. In this article, we...

Persistent link: https://www.econbiz.de/10010338097

Smooth extremal models in finance and insurance

Chavez-Demoulin, V.; Embrechts, Paul - In: The journal of risk and insurance : the journal of the … 71 (2004) 2, pp. 183-199

Persistent link: https://www.econbiz.de/10002086148

Aggregating risk capital, with an application to operational risk

Embrechts, Paul; Puccetti, Giovanni - In: The Geneva risk and insurance review 31 (2006) 2, pp. 71-90

Persistent link: https://www.econbiz.de/10003398777

Correlation and dependence in risk management : properties and pitfalls

Embrechts, Paul; McNeil, Alexander J.; Straumann, Daniel - In: Risk management : value at risk and beyond, (pp. 176-223). 2002

Persistent link: https://www.econbiz.de/10001689212

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10001762730