Similar Search Results

Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?

Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 287-304

Persistent link: https://www.econbiz.de/10008812725

Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?

Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V. - arXiv.org - 2010

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance policies in the context of capital reduction for a range...

Persistent link: https://www.econbiz.de/10008684830

Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?

Peters, Gareth W.; Byrnes, Aaron D.; Shevchenko, Pavel V. - In: Insurance: Mathematics and Economics 48 (2011) 2, pp. 287-303

Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies different insurance policies in the context of capital reduction for a range of extreme loss...

Persistent link: https://www.econbiz.de/10008865465

Understanding the interplay between covariance forecasting factor models and risk-based portfolio allocations in currency carry trades

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth W.; … - In: Journal of Forecasting 37 (2018) 8, pp. 805-831

Persistent link: https://www.econbiz.de/10012081974

Dynamic operational risk : modeling dependence and combining different sources of information

Peters, Gareth W.; Shevchenko, Pavel V.; Wüthrich, Mario V. - In: The journal of operational risk 4 (2009/10) 2, pp. 69-104

Persistent link: https://www.econbiz.de/10003883157

Chain ladder method : Bayesian bootstrap versus classical bootstrap

Peters, Gareth W.; Wüthrich, Mario V.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10003985384

Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 61 (2015), pp. 206-226

Persistent link: https://www.econbiz.de/10010515883

Analytic loss distributional approach models for operational risk from the image-stable doubly stochastic compound processes and implications for capital allocation

Peters, Gareth W.; Shevchenko, Pavel V.; Young, Mark; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 565-579

Persistent link: https://www.econbiz.de/10009404668

Which risk factors drive oil futures price curves?

Ames, Matthew; Bagnarosa, Guillaume; Matsui, Tomoko; … - In: Energy economics 87 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012512291

Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?

Peters, Gareth; Shevchenko, Pavel V.; Hassani, Bertrand; … - In: The journal of operational risk 11 (2016) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10013177152

1
2
3
4
5
6
7
8
9
10
Next
Last