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Operational risk dependencies and the determination of risk capital
Mittnik, Stefan; Paterlini, Sandra; Yener, Tina - In: The journal of operational risk 8 (2013/14) 4, pp. 83-104
Persistent link: https://www.econbiz.de/10010388209
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Modeling dependence of operational loss frequencies
Brechmann, Eike Christian; Czado, Claudia; Paterlini, Sandra - In: The journal of operational risk 8 (2013/14) 4, pp. 105-126
Persistent link: https://www.econbiz.de/10010388208
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Estimating operational risk capital for correlated, rare events
Mittnik, Stefan; Yener, Stefan - In: The journal of operational risk 4 (2009/10) 4, pp. 29-51
Persistent link: https://www.econbiz.de/10009911440
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Estimating operational risk capital for correlated, rare events
Mittnik, Stefan; Yener, Stefan - In: The journal of operational risk 4 (2009/10) 4, pp. 29-51
Persistent link: https://www.econbiz.de/10003930044
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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