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Application of the convolution operator for scenario integration with loss data in operational risk modeling
Aroda, Pavan; Guergachi, Aziz; Huang, Huaxiong - In: The journal of operational risk 10 (2015) 4, pp. 23-44
Persistent link: https://www.econbiz.de/10011442585
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The two defaults scenario for stressing credit portfolio loss distributions
Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...
Persistent link: https://www.econbiz.de/10011544020
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Managing operationl risk : moving towards the advanced measurement approach
McCormack, Peter; Sheen, Andrew; Umande, Philip - In: Journal of risk management in financial institutions 7 (2014) 3, pp. 239-256
Persistent link: https://www.econbiz.de/10010413331
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Managing climate change risks : the role of governance and scenario analysis
Clerc, Laurent - In: Journal of risk management in financial institutions 15 (2021/2022) 1, pp. 38-50
Persistent link: https://www.econbiz.de/10013189148
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Risk management lessons learned from the financial crisis : one CRO's view
Wilson, Thomas C. - In: Journal of risk management in financial institutions 6 (2012/13) 2, pp. 167-177
Persistent link: https://www.econbiz.de/10009737791
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A framework to analyze the financial effects of climate change
Turnbull, Stuart M.; Habahbeh, Lawrence - In: Journal of risk 23 (2020/2021) 2, pp. 105-146
Persistent link: https://www.econbiz.de/10012500268
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Underdetermination and variability of the results in macro-to-micro stress tests : a machine learning approach
Denev, Alexander; Angelini, Orazio - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 130-149
Persistent link: https://www.econbiz.de/10011670662
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A formalized, integrated and visual approach to stress testing
Denev, Alexander; Mutnikas, Yaacov - In: Risk management : a journal of risk, crisis and disaster 18 (2016) 4, pp. 189-216
Persistent link: https://www.econbiz.de/10011596557
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Systematic systemic stress tests
Breuer, Thomas; Summer, Martin - 2018
Persistent link: https://www.econbiz.de/10011984002
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An investigation of cyber loss data and its links to operational risk
Cohen, Ruben D.; Humphries, Jonathan; Veau, Sabrina; … - In: The journal of operational risk 14 (2019) 3, pp. 1-25
Persistent link: https://www.econbiz.de/10012132742