Search Results - subject:"Advanced Measurement Approach"

Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement

Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks 7 (2019) 2, pp. 1-20

We explore the Monte Carlo steps required to reduce the sampling error of the estimated 99.9% quantile within an acceptable threshold. Our research is of primary interest to practitioners working in the area of operational risk measurement, where the annual loss distribution cannot be...

Persistent link: https://www.econbiz.de/10013200468

Practice oriented and Monte Carlo based estimation of the value-at-risk for operational risk measurement

Greselin, Francesca; Piacenza, Fabio; Zitikis, Ričardas - In: Risks : open access journal 7 (2019) 2/50, pp. 1-20

Persistent link: https://www.econbiz.de/10012019128

Multivariate Cox Hidden Markov models with an application to operational risk

Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon - In: Scandinavian actuarial journal 2019 (2019) 8, pp. 686-710

Persistent link: https://www.econbiz.de/10012194991

On the selection of loss severity distributions to model operational risk

Hadley, Daniel; Joe, Harry; Nolde, Natalia - In: The journal of operational risk 14 (2019) 3, pp. 73-94

Persistent link: https://www.econbiz.de/10012132747

Sensitivity analysis of scenario models for operational risk Advanced Measurement Approach

Chaudhary, Dinesh - Volkswirtschaftliche Fakultät, … - 2014

Measurement Approach. However, operational risk capital based on scenario data may exhibit high sensitivity or wrong …Scenario Analysis (SA) plays a key role in determination of operational risk capital under Basel II Advanced …

Persistent link: https://www.econbiz.de/10011111586