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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 operational risk depending on covariates : an empirical investigation
Embrechts, Paul; Mizgier, Kamil J.; Chen, Xian - In: The journal of operational risk 13 (2018) 3, pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
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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
Persistent link: https://www.econbiz.de/10011976061
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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
Persistent link: https://www.econbiz.de/10013177451
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Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien; Kneib, Thomas - In: Journal of financial econometrics 21 (2023) 2, pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
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Tail dependency in operational risk models
Sheikh, Ahraz; Gavin, John - In: Operational risk : practical approaches to implementation, (pp. 13-21). 2005
Persistent link: https://www.econbiz.de/10003285523
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Evidence, estimates and extreme values from Austria
Kerbl, Stefan - In: The journal of operational risk 9 (2014/2015) 3, pp. 89-123
Persistent link: https://www.econbiz.de/10013262966
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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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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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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