In this paper we consider the operations of a non-financial corporation and present a novel risk-management framework … where the decision maker - the firm's manager - is risk averse. Critically, our framework (i) imposes risk aversion through … a generic class of tail risk constraints and (ii) considers explicitly the differences than can, and often do, exist …

We use an empirical model to categorize firms into portfolios based on operational risk. Using these portfolios, we … show that a strategy of buying firms in the highest decile of operational risk and shorting firms in the lowest decile of … operational risk earned a positive but insignificant risk-adjusted average return of 0.72% per month from 1990 to 2000. However …

collection threshold in operational risk modeling. For fitting the loss severity distribution, several approaches have been … objective of this paper is to understand the impact of model uncertainty on the value-at-risk (VaR) estimators. To accomplish … that, we take the bank's perspective and study a single risk. Under this simplified scenario we can solve the problem …

collection threshold in operational risk modeling. There are several approaches under consideration --- the empirical approach … family. Our primary goal is to quantify the effect of model uncertainty on risk measurements. This is accomplished by … evaluating the probability of each approach producing conservative capital allocations based on the value-at-risk measure. These …

While substantial amount of work in operational risk has been dedicated to fitting distributions to the loss data ….P. Burnham and D.R. Anderson, 2002 in the context of the operational risk capital modeling, including the use of information …