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The information value of past losses in operational risk

Curti, Filippo; Migueis, Marco - 2022

Persistent link: https://www.econbiz.de/10014282949

Operational loss recoveries and the macroeconomic environment : evidence from the U.S. banking sector

Frame, W. Scott; Lazaryan, Nika; McLemore, Ping; Mihov, … - 2022

Persistent link: https://www.econbiz.de/10013415315

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

Climate risks in the U.S. banking sector : evidence from operational losses and extreme storms

Berger, Allen N.; Curti, Filippo; Lazaryan, Nika; … - 2023

Persistent link: https://www.econbiz.de/10014445463

Operational risk management and implications for bank's economic capital - a case study

Chalupka, Radovan (contributor); Teplý, Petr (contributor) - 2008

In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches … described in the literature: the loss distribution approach and the extreme value theory (EVTʺ). Within the EVT analysis, two …

Persistent link: https://www.econbiz.de/10003755227

Three essays in risk management in financial institutions

Yanochkin, Anton - 2012

requires the use of historical loss data, the application of statistical tools, and the engagement of a highly qualified staff …. Our results provide evidence that the adoption of AMA is contingent on the availability of bank resources and prior …. - Internal Risk Controls and their Impact on Bank Solvency: Recent cases in financial sector showed the importance of risk …

Persistent link: https://www.econbiz.de/10011878218