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subject:"Risk measure"
isPartOf:"Review of financial economics : RFE"
~subject:"1998-2005"
~subject:"USA"
~isPartOf:"The journal of operational risk"
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Risk measure
1998-2005
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159
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159
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110
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Review of financial economics : RFE
The journal of operational risk
Insurance / Mathematics & economics
97
Journal of banking & finance
64
Risks : open access journal
53
European journal of operational research : EJOR
44
Journal of risk
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International journal of finance & economics : IJFE
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1
Semi-nonparametric estimation of operational risk capital with extreme loss events
Chen, Heng Z.
;
Cosslett, Stephen R.
- In:
The journal of operational risk
19
(
2024
)
1
,
pp. 51-86
Persistent link: https://www.econbiz.de/10014490229
Saved in:
2
Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management
Sharma, Udayan
;
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
41
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014278639
Saved in:
3
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
Saved in:
4
How to choose the dependence types in operational risk measurement? : a method considering strength, sensitivity and simplicity
Zhu, Xiaoqian
;
Wang, Yinghui
;
Liu, Mingxi
;
Li, Jianping
- In:
The journal of operational risk
18
(
2023
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014490122
Saved in:
5
Credible value-at-risk
Mitic, Peter
- In:
The journal of operational risk
18
(
2023
)
4
,
pp. 33-70
Persistent link: https://www.econbiz.de/10014490183
Saved in:
6
A review of the state of the art in quantifying operational risk
Benito, Sonia
;
Martín, Carmen López
- In:
The journal of operational risk
13
(
2018
)
4
,
pp. 89-129
Persistent link: https://www.econbiz.de/10011976061
Saved in:
7
Measurement of operational risk regulatory capital in the banking sector : developed countries versus emerging markets
Hassanein, Medhat
;
Bouaddi, Mohammed
;
Karim, Talha
- In:
The journal of operational risk
16
(
2021
)
1
,
pp. 12-43
Persistent link: https://www.econbiz.de/10013168027
Saved in:
8
Extreme value theory for operational risk in insurance : a case study
Vyskočil, Michal
;
Koudelka, Jiří
- In:
The journal of operational risk
16
(
2021
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10013177451
Saved in:
9
Maximum likelihood estimation error an operational value-at-risk stability
Larsen, Paul
- In:
The journal of operational risk
14
(
2019
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012052373
Saved in:
10
Qualification of operational risk : statistical insights on coherent risk measures
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
; …
- In:
The journal of operational risk
14
(
2019
)
2
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012052410
Saved in:
11
Estimation of value-at-risk for conduct risk losses using pseudo-marginal Markov chain Monte Carlo
Mitic, Peter
;
Hu, Jiaqi
- In:
The journal of operational risk
14
(
2019
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012157425
Saved in:
12
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
13
Modeling operational risk depending on covariates : an empirical investigation
Embrechts, Paul
;
Mizgier, Kamil J.
;
Chen, Xian
- In:
The journal of operational risk
13
(
2018
)
3
,
pp. 17-46
Persistent link: https://www.econbiz.de/10011962172
Saved in:
14
A note on the statistical robustness of risk measures
Zhelonkin, Mikhail
;
Chavez-Demoulin, Valérie
- In:
The journal of operational risk
12
(
2017
)
2
,
pp. 47-68
Persistent link: https://www.econbiz.de/10011775516
Saved in:
15
Bank capital and portfolio risk among Islamic banks
Basher, Syed Abul
;
Kessler, Lawrence M.
;
Munkin, Murat K.
- In:
Review of financial economics : RFE
34
(
2017
),
pp. 1-9
Persistent link: https://www.econbiz.de/10011876776
Saved in:
16
Fast, accurate and straightforward extreme quantiles of compound loss distributions
Opdyke, John Douglas
- In:
The journal of operational risk
12
(
2017
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013177180
Saved in:
17
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
Saved in:
18
How to turn uncertainties of operational risk capital into opportunities from a risk management perspective
Meunier, Philippe
;
Bakker, Arjan
- In:
The journal of operational risk
11
(
2016
)
2
,
pp. 31-68
Persistent link: https://www.econbiz.de/10011600225
Saved in:
19
An assessment of operational loss data and its implications for risk capital modeling
Cohen, Ruben D.
- In:
The journal of operational risk
11
(
2016
)
3
,
pp. 71-95
Persistent link: https://www.econbiz.de/10013177162
Saved in:
20
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
Saved in:
21
Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets
Karagiannidis, Iordanis
;
Wilford, D. S.
- In:
Review of financial economics : RFE
25
(
2015
),
pp. 19-26
Persistent link: https://www.econbiz.de/10011498207
Saved in:
22
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
Saved in:
23
Modeling correlated frequencies with application in operational risk management
Badescu, Andrei L.
;
Gong, Lan
;
Lin, X. Sheldon
;
Tang, Dameng
- In:
The journal of operational risk
10
(
2015
)
1
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011298878
Saved in:
24
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
Saved in:
25
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
Saved in:
26
Estimation of tail-related risk measures in the Indian stock market : an extreme value approach
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
22
(
2013
)
3
,
pp. 79-85
Persistent link: https://www.econbiz.de/10010213379
Saved in:
27
Optimal commodity asset allocation with a coherent market risk modeling
Al Janabi, Marzim A. M.
- In:
Review of financial economics : RFE
21
(
2012
)
3
,
pp. 131-140
Persistent link: https://www.econbiz.de/10009703027
Saved in:
28
Financial crisis and extreme market risks : evidence from Europe
Orłowski, Lucjan T.
- In:
Review of financial economics : RFE
21
(
2012
)
3
,
pp. 120-130
Persistent link: https://www.econbiz.de/10009703032
Saved in:
29
A practical application of extreme value theory to operational risk in banks
Dahen, Hela
;
Dionne, Georges
;
Zajdenweber, Daniel
- In:
The journal of operational risk
5
(
2010/11
)
2
,
pp. 63-78
Persistent link: https://www.econbiz.de/10003996359
Saved in:
30
An optimization process in Value-at-Risk estimation
Huang, Alex
- In:
Review of financial economics : RFE
19
(
2010
)
3
,
pp. 109-116
Persistent link: https://www.econbiz.de/10008652920
Saved in:
31
The calculation of minimum regulatory capital using single-loss approximations
Degen, Matthias
- In:
The journal of operational risk
5
(
2010/11
)
4
,
pp. 3-17
Persistent link: https://www.econbiz.de/10008823253
Saved in:
32
Combining operational loss data with expert opinions through advanced credibility theory
Agostini, Alessandra
;
Talamo, Paolo
;
Vecchione, Vittorio
- In:
The journal of operational risk
5
(
2010/11
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10003971938
Saved in:
33
Evaluation of parameter risk via first-order approximation of distortion risk measures
Erdman, Donald
;
Major, Steven
;
Rioux, Jacques
- In:
The journal of operational risk
5
(
2010/11
)
1
,
pp. 29-46
Persistent link: https://www.econbiz.de/10003971940
Saved in:
34
A model for managing online fraud risk using transaction validation
Pandey, Manoj
- In:
The journal of operational risk
5
(
2010/11
)
1
,
pp. 49-63
Persistent link: https://www.econbiz.de/10003971941
Saved in:
35
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
Saved in:
36
Applying VaR to REITs : a comparison of alternative methods
Lu, Chiuling
;
Wu, Sheng-ching
;
Ho, Lan-chih
- In:
Review of financial economics : RFE
18
(
2009
)
2
,
pp. 97-102
Persistent link: https://www.econbiz.de/10003901002
Saved in:
37
A short note on the concept of risk management and VaR for asset management firms
Putnam, Bluford H.
;
Wilford, D. S.
;
Zecher, Philip D.
- In:
Review of financial economics : RFE
11
(
2002
)
3
,
pp. 205-212
Persistent link: https://www.econbiz.de/10001720512
Saved in:
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