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Operational risk mangement and implications for bank's economic capital - a case study

Chalupka, Radovan; Teplý, Petr - 2008

described in the literature: the loss distribution approach and the extreme value theory (EVT). Within the EVT analysis, two …

Persistent link: https://www.econbiz.de/10010322249

Die Behandlung der operationellen Risiken nach Basel II: Ein Anreiz zur Verbesserung des Risikomanagements?

Rünger, Petra; Walther, Ursula - 2004

Operationelle Risiken stellen für Banken nach dem Kreditrisiko die zweitwichtigste Risikokategorie dar. Ein effektives Risikomanagement der operationellen Risiken dürfte in Zukunft ein entscheidender Wettbewerbsfaktor sein. Im Rahmen der Neuregelung der bankaufsichtsrechtlichen Vorgaben...

Persistent link: https://www.econbiz.de/10010305656

Operational risk - scenario analysis

Rippel, Milan; Teplý, Petr - 2008

of 2006 and recent severe operational risk loss events. This paper focuses on operational risk measurement techniques and … bank is analyzed using several approaches. Multiple statistical concepts such as the Loss Distribution Approach or the … this method, custom plausible loss events defined in a particular scenario are merged with the original data sample and …

Persistent link: https://www.econbiz.de/10010322209

Operational disruption and the Hungarian real time gross settlement system (VIBER)

Lublóy, Ágnes; Tanai, Eszter - 2008

Central bankers wish to ensure worldwide that large-value transfer systems, as a component of the key market infrastructure, exhibit sufficiently robust levels of operational resilience. We focus on the operational resilience of the Hungarian real time gross settlement system, known as VIBER....

Persistent link: https://www.econbiz.de/10010322389

For now, middle-skilled jobs are the most vulnerable

Levy, Frank; Murnane, Richard J. - In: CESifo Forum 07 (2006) 2, pp. 38

Persistent link: https://www.econbiz.de/10011695838

Activities that do not require physical contact or geographical proximity

Blinder, Alan S. - In: CESifo Forum 07 (2006) 2, pp. 39-40

Persistent link: https://www.econbiz.de/10011695839

Darf ein profitabler Weltkonzern wie Siemens Ost-Standorte schließen? Eine wirtschaftsethische Reflexion

Pies, Ingo - 2018

Diese wirtschaftsethische Reflexion geht angesichts einer sehr lautschrillen öffentlichen Debatte der Frage nach, ob ein profitabler Weltkonzern wie Siemens Betriebsstandorte in strukturschwachen Regionen Ostdeutschlands schließen darf. Dem die Öffentlichkeit dominierenden Wahrnehmungsmuster...

Persistent link: https://www.econbiz.de/10011815542

Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study

Chernobai, Anna; Menn, Christian; Rachev, Svetlozar T.; … - 2010

banks, require the use of historic operational loss data. Operational loss databases are typically subject to a minimum … estimates when the threshold is ignored. Using publicly available operational loss data, we analyze the effects of model … misspecification on resulting expected loss, Value-at-Risk, and Conditional Value-at-Risk figures and show that underestimation of the …

Persistent link: https://www.econbiz.de/10010301729

Copula dynamics in CDOs

Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2012

Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...

Persistent link: https://www.econbiz.de/10010318769

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10010292792