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  • Search: subject:"Loss Distribution Approach"
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Year of publication
Subject
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Operational risk 27 Operationelles Risiko 24 Risikomanagement 24 Risk management 24 operational risk 22 Bank risk 18 Bankrisiko 18 loss distribution approach (LDA) 16 loss distribution approach 15 Basel Accord 13 Basler Akkord 13 Theorie 12 Theory 12 Risikomaß 10 Risk measure 10 Loss 9 Loss Distribution Approach 9 Loss distribution approach 9 Messung 9 Statistical distribution 9 Statistische Verteilung 9 Verlust 9 Measurement 8 advanced measurement approach (AMA) 8 Bayesian inference 7 Credit risk 7 Kreditrisiko 7 Risiko 6 Risk 6 extreme value theory 6 Operational Risk 5 economic capital 5 Basel II 4 Copula 4 Probability theory 4 Wahrscheinlichkeitsrechnung 4 non-parametric statistics 4 risk measures 4 standardized measurement approach (SMA) 4 Bank 3
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Online availability
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Free 21 Undetermined 21 CC license 1
Type of publication
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Article 38 Book / Working Paper 13
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26 Article 3 Working Paper 3 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 35 Undetermined 14 German 1 Russian 1
Author
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Renaudin, Alexis 5 Hassani, Bertrand 3 Keighley, Tim 3 Li, Jianping 3 Longden, Thomas 3 Mathew, Supriya 3 Rippel, Milan 3 Trück, Stefan 3 Albrecht, Peter 2 Cohen, Ruben D. 2 De Wet, Tertius 2 Gao, Xiang 2 Hassani, Bertrand K. 2 Hora, Manpreet 2 Kapp, Daniel 2 Kimiagari, Alimohammad 2 Kratz, Marie 2 Mizgier, Kamil J. 2 Momen, Omid 2 Noorbakhsh, Eaman 2 Piacenza, Fabio 2 Schwake, Edmund 2 Teplý, Petr 2 Vega, Marco 2 Wagner, Stephan M. 2 Wang, Yinghui 2 Winter, Peter 2 Zhu, Xiaoqian 2 Arunachalam, Viswanathan 1 BARREIRA, Raquel 1 Belkacem, Lotfi 1 Belloni, Claudia 1 Ber-Yuen, Pia E.K. 1 Bouveret, Antoine 1 BÃLAN, Cristian 1 Capa Santos, Holger 1 Chapelle, Ariane 1 Danesi, Ivan Luciano 1 Eckert, Christian 1 Einemann, Michael 1
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Institution
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HAL 2 Banco Central de Reserva del Perú 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Departamento de Economía, Pontificia Universidad Católica del Perú 1 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 1 ESSEC Business School 1 Facultatea de Cibernetica, Statistica şi Informatica Economica, Academia de Studii Economice din Bucureşti 1 Fondazione ENI Enrico Mattei (FEEM) 1 Institut ekonomických studií, Univerzita Karlova v Praze 1
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Published in...
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The journal of operational risk 21 German Risk and Insurance Review (GRIR) 2 Journal of Financial Transformation 2 Post-Print / HAL 2 Applied Econometrics 1 Center for Economic Research (RECent) 1 Documentos de Trabajo / Working Papers 1 Documents de travail du Centre d'Economie de la Sorbonne 1 ESSEC Working Papers 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 Financial innovation : FIN 1 IES Working Paper 1 Insurance / Mathematics & economics 1 Journal of Applied Economic Sciences 1 Journal of Industrial Engineering International 1 Journal of industrial engineering international 1 Mathematics and Computers in Simulation (MATCOM) 1 Nota di Lavoro 1 Prague Economic Papers 1 Proceedings of the 4th International Conference on Knowledge Management: Projects, Systems and Technologies,Bucharest, November 6-7 2009 1 Quantitative Finance 1 Risks 1 Risks : open access journal 1 Working Papers / Banco Central de Reserva del Perú 1 Working Papers / Fondazione ENI Enrico Mattei (FEEM) 1 Working Papers IES 1 Working paper 1
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Source
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ECONIS (ZBW) 27 RePEc 19 EconStor 5
Showing 11 - 20 of 51
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Quantifying Catastrophic and Climate Impacted Hazards Based on Local Expert Opinions
Keighley, Tim; Longden, Thomas; Mathew, Supriya; … - Fondazione ENI Enrico Mattei (FEEM) - 2014
The analysis of catastrophic and climate impacted hazards is a challenging but important exercise, as the occurrence of such events is usually associated with high damage and uncertainty. Often, at the local level, there is a lack of information on rare extreme events, such that available data...
Persistent link: https://www.econbiz.de/10011162069
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Quantifying catastrophic and climate impacted hazards based on local expert opinions
Keighley, Tim; Longden, Thomas; Mathew, Supriya; … - 2014
The analysis of catastrophic and climate impacted hazards is a challenging but important exercise, as the occurrence of such events is usually associated with high damage and uncertainty. Often, at the local level, there is a lack of information on rare extreme events, such that available data...
Persistent link: https://www.econbiz.de/10010426201
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The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios.
Hassani, Bertrand K.; Renaudin, Alexis - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
proposes an innovative methodology to bring together these three different sources in the Loss Distribution Approach (LDA …
Persistent link: https://www.econbiz.de/10010617533
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The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios
Hassani, Bertrand; Renaudin, Alexis - HAL - 2013
proposes an innovative methodology to bring together these three different sources in the Loss Distribution Approach (LDA …
Persistent link: https://www.econbiz.de/10010635130
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Operational risk measurement beyond the loss distribution approach : an exposure-based methodology
Einemann, Michael; Fritscher, Joerg; Kalkbrener, Michael - In: The journal of operational risk 13 (2018) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10011895031
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An operational risk capital model based on the loss distribution approach
Cohen, Ruben D. - In: The journal of operational risk 13 (2018) 2, pp. 59-81
Persistent link: https://www.econbiz.de/10011895047
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Modeling catastrophic operational risk using a compound Neyman-Scott clustering model
Gara, Zied; Belkacem, Lotfi - In: The journal of operational risk 13 (2018) 1, pp. 51-75
Persistent link: https://www.econbiz.de/10011848903
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Modeling the operational risk in Iranian commercial banks: Case study of a private bank
Momen, Omid; Kimiagari, Alimohammad; Noorbakhsh, Eaman - In: Journal of Industrial Engineering International 8 (2012), pp. 1-10
Distribution Approach with Iran's specific modifications are presented. We employed the approach of this study to model the … are discussed, and then, some solutions are recommended. Moreover, all steps of operational risk measurement based on Loss …
Persistent link: https://www.econbiz.de/10011551824
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Modelling macroeconomic effects and expert judgements in operational risk : a Bayesian approach
Santos, Holger Capa; Kratz, Marie; Munoz, Franklin Mosquera - HAL - 2012
This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the...
Persistent link: https://www.econbiz.de/10010543494
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Modelling macroeconomic eects and expert judgements in operational risk : a Bayesian approach
Capa Santos, Holger; Kratz, Marie; Mosquera Munoz, Franklin - ESSEC Business School - 2012
This work presents a contribution on operational risk under a general Bayesian context incorporating information on market risk pro le, experts and operational losses, taking into account the general macroeconomic environment as well. It aims at estimating a characteristic parameter of the...
Persistent link: https://www.econbiz.de/10010545144
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