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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals

Bee, Marco; Hambuckers, Julien - 2020

Persistent link: https://www.econbiz.de/10012417238

Understanding the Economic Determinants of the Severity of Operational Losses : A Regularized Generalized Pareto Regression Approach

Hambuckers, Julien - 2018

We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit, covering a period of 10 years and 7 different event types. Our goal is to shed light on the dependence between the severity distribution of these losses and a set of macroeconomic, financial and...

Persistent link: https://www.econbiz.de/10012929497

Smooth-transition regression models for non-stationary extremes

Hambuckers, Julien; Kneib, Thomas - In: Journal of financial econometrics 21 (2023) 2, pp. 445-484

Persistent link: https://www.econbiz.de/10014314754

Estimating large losses in insurance analytics and operational risk using the g-and-h distribution

Bee, Marco; Hambuckers, J.; Trapin, L. - In: Quantitative finance 21 (2021) 7, pp. 1207-1221

Persistent link: https://www.econbiz.de/10012588037

Some analytical results on bivariate stable distributions with an application in operational risk

Tafakori, Laleh; Bee, Marco; Soltani, Ahmad Reza - In: Quantitative finance 22 (2022) 7, pp. 1355-1369

Persistent link: https://www.econbiz.de/10013367907