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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
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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
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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
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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
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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
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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
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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
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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
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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
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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