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A modified Panjer algorithm for operational risk capital calculations

Guégan, Dominique; Hassani, Bertrand K. - In: The journal of operational risk 4 (2009/10) 4, pp. 53-72

Persistent link: https://www.econbiz.de/10003930046

Multivariate VaRs for operational risk capital computation : a vine structure approach

Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170

Persistent link: https://www.econbiz.de/10010385914

Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach

De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333

Persistent link: https://www.econbiz.de/10012420870

An efficient threshold choice for the computation of operational risk capital

Guégan, Dominique; Hassani, Bertrand K.; Naud, Cédric - In: The journal of operational risk 6 (2011/12) 4, pp. 3-19

Persistent link: https://www.econbiz.de/10009422506

Measuring risks in the tail: the extreme VaR and its confidence interval

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224

Persistent link: https://www.econbiz.de/10011925077

The Spectral Stress VaR (SSVaR)

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - 2015

Persistent link: https://www.econbiz.de/10011635436

Risk or regulatory capital? : bringing distributions back in the foreground

Guégan, Dominique; Hassani, Bertrand - 2015

Persistent link: https://www.econbiz.de/10011635443

Estimating lower tail dependence between pairs of poverty dimensions in Europe

D'Agostino, Antonella; De Luca, Giovanni; Guégan, Dominique - In: Review of income and wealth 69 (2023) 2, pp. 419-442

Persistent link: https://www.econbiz.de/10014311003

Risk measurement : from quantitative measures to management decisions

Guégan, Dominique; Hassani, Bertrand - 2019

Persistent link: https://www.econbiz.de/10011920991

Risk Measurement : From Quantitative Measures to Management Decisions

Guégan, Dominique; Hassani, Bertrand K. - 2019

1 Introduction -- 2. Financial Institutions : A Regulation review through the Risk Measurement prism -- 3. The Traditional Risk measures -- 4. Univariate and Multivariate Distributions -- 5. Extensions for Risk Measures: Univariate and Multivariate Approaches -- 6. Risks Measures and Dynamics --...

Persistent link: https://www.econbiz.de/10012398556