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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Counterparty risk allocation
Baule, Rainer - In: Journal of risk 25 (2022) 1, pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
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External risk measures and Basel accords
Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417
Persistent link: https://www.econbiz.de/10009787381
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The marginal cost of risk, risk measures, and capital allocation
Bauer, Daniel; Zanjani, George - In: Management science : journal of the Institute for … 62 (2016) 5, pp. 1431-1457
Persistent link: https://www.econbiz.de/10011487544
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Estimation of losses due to cyber risk for financial institutions
Bouveret, Antoine - In: The journal of operational risk 14 (2019) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10012052398
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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
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Operational risk quantification using extreme value theory and copulas : from theory to practice
Gourier, Elise; Farkas, Walter; Abbate, Donato - In: The journal of operational risk 4 (2009/10) 3, pp. 3-26
Persistent link: https://www.econbiz.de/10003900825
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Extremal Events in a Bank Operational Losses
Dahen, Hela - 2010
during the 1994-2004 period. The tail of the loss distribution (a Pareto distribution without expectation whose …
Persistent link: https://www.econbiz.de/10013147401
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The optimal operational risk capital requirement by applying the advanced measurement approach
Lin, Tyrone T.; Lee, Chia-chi; Kuan, Yu-chuan - In: Central European journal of operations research : CEJOR … 21 (2013) 1, pp. 85-101
Persistent link: https://www.econbiz.de/10009685707
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Measuring Operational Risk Using a Mean Scaled Individual Risk Model
Hürlimann, Werner - 2018
Building on a new theory of parametric risk models initiated in Hürlimann(1998), it is shown how mean scaled individual …
Persistent link: https://www.econbiz.de/10012922348