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A theory for measures of tail risk

Liu, Fangda; Wang, Ruodu - In: Mathematics of operations research 46 (2021) 3, pp. 1109-1128

Persistent link: https://www.econbiz.de/10012625694

Extreme value theory for operational risk in insurance : a case study

Vyskočil, Michal; Koudelka, Jiří - In: The journal of operational risk 16 (2021) 4, pp. 1-26

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Modelling extremal dependence for operational risk by a bipartite graph

Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17

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Measurement of the displaced commercial risk in Islamic Banks

Toumi, Kaouther; Viviani, Jean-Laurent; Chayeh, Zeinab - In: The quarterly review of economics and finance : journal … 74 (2019), pp. 18-31

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The role of model risk in extreme value theory for capital adequacy

Kellner, Ralf; Rösch, Daniel; Scheule, Harald - In: Journal of risk 18 (2016) 6, pp. 39-70

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A review of the state of the art in quantifying operational risk

Benito, Sonia; Martín, Carmen López - In: The journal of operational risk 13 (2018) 4, pp. 89-129

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Multivariate Modellierung operationeller Risiken in Kreditinstituten

Bayer, Verena - 2012

Operationelle Risiken betreffen nahezu jede Geschäftstätigkeit von Banken. Sie verfügen über ein hohes Schadenspotential und stellen eine große Herausforderung für das Risikomanagement der Banken dar. Verena Bayer untersucht Ansätze zur Quantifizierung operationeller Risiken und der...