Search Results - subject:"operational risk modeling"

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

Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry

Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950007-1-1950007-15

Persistent link: https://www.econbiz.de/10012156150

On stability of operational risk estimates by LDA : from causes to approaches

Zhou, Xiaoping; Durfee, Antonina V.; Fabozzi, Frank J. - In: Journal of banking & finance 68 (2016), pp. 266-278

Persistent link: https://www.econbiz.de/10011634840

Random matrix theory applied to correlations in operational risk

Crénin, François; Cressey, David; Lavaud, Sophie; Xu, … - In: The journal of operational risk 10 (2015) 4, pp. 45-71

Persistent link: https://www.econbiz.de/10011442600

Approximation of aggregate and extremal losses within the very heavy tails framework

Mitov, Ivan; Rachev, Svetlozar; Fabozzi, Frank - In: Quantitative Finance 10 (2010) 10, pp. 1153-1162

The loss distribution approach is one of the three advanced measurement approaches to the Pillar I modeling proposed by Basel II in 2001. In this paper, one possible approximation of the aggregate and maximum loss distribution in the extremely low frequency/high severity case is given, i.e. the...

Persistent link: https://www.econbiz.de/10008675046

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain

Collamore, Jeffrey; Höing, Andrea - In: Finance and Stochastics 11 (2007) 3, pp. 299-322

Persistent link: https://www.econbiz.de/10005390688