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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

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

A Darwinian view on internal models

Embrechts, Paul - In: Journal of risk 20 (2017/2018) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011847418

A clustering approach and a rule of thumb for risk aggregation

Di Lascio, F. Marta L.; Giammusso, Davide; Puccetti, … - In: Journal of banking & finance 96 (2018), pp. 236-248

Persistent link: https://www.econbiz.de/10011967212

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

Aggregation-robustness and model uncertainty of regulatory risk measures

Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790

Persistent link: https://www.econbiz.de/10011420503

Statistics and Quantitative Risk Management for Banking and Insurance

Embrechts, Paul - 2014

As an emerging field of applied research, quantitative risk management (QRM) poses a lot of challenges for probabilistic and statistical modeling. This review provides a discussion on selected past, current, and possible future areas of research at the intersection of statistics and QRM. Topics...

Persistent link: https://www.econbiz.de/10013057523