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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
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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
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Risk measures and portfolio selection
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765462
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Introduction to stochastic processes
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765840
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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
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Operational risk : a guide to Basel II capital requirements, models, and analysis
Chernobai, Anna S.; Račev, Svetlozar T.; Fabozzi, Frank J. - 2007
Persistent link: https://www.econbiz.de/10003427487
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Quantifying risk in the electricity business : a RAROC-based approach
Prokopczuk, Marcel; Račev, Svetlozar T.; Schindlmayr, Gero - In: Energy economics 29 (2007) 5, pp. 1033-1049
Persistent link: https://www.econbiz.de/10003603307
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Approaches to credit risk in the new Basel Capital Accord
Benzin, Arne; Trück, Stefan; Rachev, Svetlozar T. - In: Credit risk : measurement, evaluation and management ; …, (pp. 1-33). 2003
Persistent link: https://www.econbiz.de/10002001314
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Optionspreisbewertung: ein ökonometrischer Ansatz
Menn, Christian - 2004
Persistent link: https://www.econbiz.de/10013432864
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425