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Application of the convolution operator for scenario integration with loss data in operational risk modeling
Aroda, Pavan; Guergachi, Aziz; Huang, Huaxiong - In: The journal of operational risk 10 (2015) 4, pp. 23-44
Persistent link: https://www.econbiz.de/10011442585
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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
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Truncated lognormals as a power-law mimic in operational risk
Torresetti, Roberto; Nordio, Claudio - In: The journal of operational risk 10 (2015/2016) 3, pp. 21-41
Persistent link: https://www.econbiz.de/10013262990
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Quantile distance estimation for operational risk : a practical application
Lehérissé, Vincent; Renaudin, Alexis - In: The journal of operational risk 8 (2013) 2, pp. 73-102
Persistent link: https://www.econbiz.de/10009774213
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Fitting operational risk data using limited information below the threshold
Cormack, Christopher M. - In: The journal of operational risk 9 (2014) 2, pp. 39-56
Persistent link: https://www.econbiz.de/10010387874
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A Bayesian approach to extreme value estimation in operational risk modeling
Ergashev, Bakhodir; Mittnik, Stefan; Sekeris, Evan - In: The journal of operational risk 8 (2013/14) 4, pp. 55-81
Persistent link: https://www.econbiz.de/10010388210
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Closed-form approximations for opertional value-at-risk
Hernández, Lorenzo; Tejero, Jorge; Suárez, Alberto; … - In: The journal of operational risk 8 (2013/14) 4, pp. 39-54
Persistent link: https://www.econbiz.de/10010388213
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A simple model for pseudo-nonstationarity in operational risk loss data due to interest rate dependency and reporting threshold
Arit, Gerrit; Neumann, Frank; Milkau, Udo - In: The journal of operational risk 8 (2013/14) 4, pp. 27-37
Persistent link: https://www.econbiz.de/10010388214
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Treatment of the data collection threshold in operational risk : a case study using the lognormal distribution
Cavallo, Alexander; Rosenthal, Benjamin; Wang, Xiao; … - In: The journal of operational risk 7 (2012) 1, pp. 3-38
Persistent link: https://www.econbiz.de/10009539323
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A combination model for operational risk estimation in a Chinese banking industry case
Feng, Jichuang; Li, Jianping; Gao, Lijun; Hua, Zhongsheng - In: The journal of operational risk 7 (2012) 2, pp. 17-39
Persistent link: https://www.econbiz.de/10009572422