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The mutual-information-based variance-covariance approach : an application to operational risk aggregation in Chinese banking
Li, Jianping; Zhu, Xiaoqian; Xie, Yongjia; Chen, Jianming; … - In: The journal of operational risk 9 (2014/2015) 3, pp. 3-19
Persistent link: https://www.econbiz.de/10013262974
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Truncated lognormals as a power-law mimic in operational risk
Torresetti, Roberto; Nordio, Claudio - In: The journal of operational risk 10 (2015/2016) 3, pp. 21-41
Persistent link: https://www.econbiz.de/10013262990
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A weighted likelihood estimator for operational risk data : improving the accuracy of capital estimates by robustifying maximum likelihood estimates
Colombo, Andrea; Lazzarini, Alessandro; Mongelluzzo, Silvia - In: The journal of operational risk 10 (2015/2016) 3, pp. 47-108
Persistent link: https://www.econbiz.de/10013262995
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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
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Does operating risk affect portfolio risk? : evidence from insurers' securities holding
Chen, Xuanjuan; Sun, Zhenzhen; Yao, Tong; Yu, Tong - In: The journal of corporate finance : contracting, … 62 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012239232
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Quantifying and stress testing operational risk with peer banks' data
Abdymomunov, Azamat; Curti, Filippo - In: Journal of financial services research 57 (2020) 3, pp. 287-313
Persistent link: https://www.econbiz.de/10012228510
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Evaluating the AMA and the new standardized approach for operational risk capital
Migueis, Marco - In: Journal of banking regulation 20 (2019) 4, pp. 302-311
Persistent link: https://www.econbiz.de/10012259758
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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
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Basel disclosure by private and public sector banks in India : assessment and implications
Samanta, Prodyot; Dugal, Mohinder - In: Journal of financial regulation and compliance : an … 24 (2016) 4, pp. 453-472
Persistent link: https://www.econbiz.de/10011718614
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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