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Diversification effects in operational risk: a robust approach

Monti, Fabio; Brunner, Michael; Piacenza, Fabio; … - In: Journal of risk management in financial institutions 3 (2009/10) 3, pp. 243-258

Persistent link: https://www.econbiz.de/10003991473

Measuring risk with ordinal variables

Figini, Silvia; Giudici, Paolo - In: The journal of operational risk 8 (2013) 2, pp. 35-43

Persistent link: https://www.econbiz.de/10009774216

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

Statistical models of operational loss

Alexander, Carol - 2008

Persistent link: https://www.econbiz.de/10003765463

The dynamics of operational loss clustering

Chernobai, Anna; Yildirim, Yildiray - In: Journal of banking & finance 32 (2008) 12, pp. 2655-2666

Persistent link: https://www.econbiz.de/10003795882

Modeling operational risk incorporating reputation risk : an integrated analysis for financial firms

Eckert, Christian; Gatzert, Nadine - In: Insurance / Mathematics & economics 72 (2017), pp. 122-137

Persistent link: https://www.econbiz.de/10011694399

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

Operational risk capital charges (Basel II) : factoring in external loss data to the internal datasets

Prorokowski, Lukasz - In: Journal of risk finance : the convergence of financial … 16 (2015) 5, pp. 519-535

Persistent link: https://www.econbiz.de/10011531076

Semi-nonparametric estimation of operational risk capital with extreme loss events

Chen, Heng Z.; Cosslett, Stephen R. - In: The journal of operational risk 19 (2024) 1, pp. 51-86

Persistent link: https://www.econbiz.de/10014490229

The Dynamics of Operational Loss Clustering

Chernobai, Anna - 2011

This paper investigates the characteristics of the operational loss data formation mechanism that takes place between …. The first loss that characterizes the initial impact of a new operational risk event frequently triggers a sequence of … of secondary losses is not homogeneous: both are functions of the initial loss amount and time. We model the arrival …

Persistent link: https://www.econbiz.de/10013130477