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A general framework for constructing bank risk data sets
Zhu, Xiaoqian; Lu, Wei; Wu, Dengsheng; Li, Jianping - In: Journal of risk 21 (2018/2019) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10011980291
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The information value of past losses in operational risk
Curti, Filippo; Migueis, Marco - In: The journal of operational risk 18 (2023) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10014490088
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On the aggregation of credit, market and operational risks
Li, Jianping; Zhu, Xiaoqian; Lee, Cheng F.; Wu, Dengsheng; … - In: Review of quantitative finance and accounting 44 (2015) 1, pp. 161-189
Persistent link: https://www.econbiz.de/10011327637
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A two-stage general approach to aggregate multiple bank risks
Zhu, Xiaoqian; Wei, Lu; Li, Jianping - In: Finance research letters 40 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012819276
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Identification, quantification and monitoring of operational risk
Baijal, Rajat - In: Journal of securities operations & custody 13 (2021) 3, pp. 253-263
Persistent link: https://www.econbiz.de/10012654232
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Benchmarking operational risk stress testing models
Curti, Filippo; Migueis, Marco; Stewart, Robert - In: The journal of operational risk 15 (2020) 2, pp. 27-42
Persistent link: https://www.econbiz.de/10013177363
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The mutual-information-based variance-covariance approach : an application to operational risk aggregation in Chinese banking
Li, Jianping; Zhu, Xiaoqian; Xie, Yongjia; Chen, Jianming; … - In: The journal of operational risk 9 (2014/2015) 3, pp. 3-19
Persistent link: https://www.econbiz.de/10013262974
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Evaluating the AMA and the new standardized approach for operational risk capital
Migueis, Marco - In: Journal of banking regulation 20 (2019) 4, pp. 302-311
Persistent link: https://www.econbiz.de/10012259758
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Operational risk measurement : a loss distribution approach with segmented dependence
Zhu, Xiaoqian; Wang, Yinghui; Li, Jianping - In: The journal of operational risk 14 (2019) 1, pp. 25-44
Persistent link: https://www.econbiz.de/10012052383
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Forward-looking and incentive-compatible operational risk capital framework
Migueis, Marco - In: The journal of operational risk 13 (2018) 3, pp. 1-15
Persistent link: https://www.econbiz.de/10011962170