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Measuring tail operational risk in univariate and multivariate models with extreme losses

Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10014490082

A comparison of alternative mixing models for external data in operational risk

Torresetti, Roberto; Le Pera, Giacomo - In: The journal of operational risk 10 (2015) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011442580

Optimal B-robust posterior distributions for operational risk

Danesi, Ivan Luciano; Piacenza, Fabio; Ruli, Erlis; … - In: The journal of operational risk 11 (2016) 4, pp. 35-54

Persistent link: https://www.econbiz.de/10013177177

Bayesian operational risk models

Figini, Silvia; Gao, Lijun; Giudici, Paolo - In: The journal of operational risk 10 (2015) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10011298859

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

Modelling extremal dependence for operational risk by a bipartite graph

Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012495775

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

Multivariate VaRs for operational risk capital computation : a vine structure approach

Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170

Persistent link: https://www.econbiz.de/10010385914

Evaluating operational risk by an inhomogeneous counting process based on Panjer recursion

Jiménez, José Alfredo; Arunachalam, Viswanathan - In: The journal of operational risk 11 (2016) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011518186

Closed-form approximations for opertional value-at-risk

Hernández, Lorenzo; Tejero, Jorge; Suárez, Alberto; … - In: The journal of operational risk 8 (2013/14) 4, pp. 39-54

Persistent link: https://www.econbiz.de/10010388213