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Semi-nonparametric estimation of operational risk capital with extreme loss events
Chen, Heng Z.; Cosslett, Stephen R. - In: The journal of operational risk 19 (2024) 1, pp. 51-86
Persistent link: https://www.econbiz.de/10014490229
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Operational risk quantification using extreme value theory and copulas : from theory to practice
Gourier, Elise; Farkas, Walter; Abbate, Donato - In: The journal of operational risk 4 (2009/10) 3, pp. 3-26
Persistent link: https://www.econbiz.de/10003900825
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Operational risk modelling in insurance and banking
Vukovic, Ognjen - In: Inventi impact: microfinance & banking (2016) 3, pp. 172-184
Persistent link: https://www.econbiz.de/10011567927
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - 2020
Persistent link: https://www.econbiz.de/10012417238
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Operational loss with correlated frequency and severity : an analytical approach
Stahl, Daniel H. - In: The journal of operational risk 11 (2016) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10011600204
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Using weighted distributions to model operational risk
Afonso, Lourdes B.; Real, Pedro Corte - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 469-485
Persistent link: https://www.econbiz.de/10011576788
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Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura; Silvapulla, Param - In: Insurance / Mathematics & economics 69 (2016), pp. 194-201
Persistent link: https://www.econbiz.de/10011530959
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A tale of tails : an empirical analysis of loss distribution models for estimating operational risk capital
Dutta, Kabir (contributor); Perry, Jason (contributor) - 2006 - This version: April 2007 (first version: July 2006)
Operational risk is being considered as an important risk component for financial institutions as evinced by the large sums of capital that are allocated to mitigate this risk. Therefore, risl measurement is of paramount concern for the purposes of capital allocation, hedging, and new product...
Persistent link: https://www.econbiz.de/10003347297
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Closed-form approximations for opertional value-at-risk
Hernández, Lorenzo; Tejero, Jorge; Suárez, Alberto; … - In: The journal of operational risk 8 (2013/14) 4, pp. 39-54
Persistent link: https://www.econbiz.de/10010388213
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Fast, accurate and straightforward extreme quantiles of compound loss distributions
Opdyke, John Douglas - In: The journal of operational risk 12 (2017) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10013177180