Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to...

There is a vast literature on the selection of an appropriate index of income inequality and on what desirable properties such a measure (or index) should contain. The Gini index is, of course, the most popular. There is a concurrent literature on the use of hypothetical statistical...

We examine the relationship between the risk management practices and financial performance of the listed companies in Nigeria for the period of ten year from 2005 to 2014, with a particular attention on the 21 deposit money banks. Specifically, the study investigates how risk limit setting,...

The final master thesis applies reseach on the common issues analysis regarding operational risk management at the commercial bank, highlights risk measurement tools and identifies the key goals of OR management activity. The analysis is applied to the bibliograpical entries defining operational...

Operational risk is defined as the potential losses resulting from events caused by inadequate or failed processes, people, equipment, and systems or from external events. One of the most important challenges for the management of the company is to improve its results through its operational...

This paper proposes a methodology to analyze the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk put forward by the Basel II Accord. The methodology relies on an integrated procedure for the construction of the distribution of aggregate losses,...

Financial institutions have always been exposed to operational risk – the risk of loss, resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Both banking supervision authorities and banking...