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A tale of tails : an empirical analysis of loss distribution models for estimating operational risk capital
Dutta, Kabir (contributor); Perry, Jason (contributor) - 2006 - This version: April 2007 (first version: July 2006)
; operational risk ; g-and-h distribution ; goodness-of-fit ; skewness-kurtosis ; risk measurement ; extreme value theory ; peak …
Persistent link: https://www.econbiz.de/10003347297
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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The impact of model risk on capital reserves : a quantitative analysis
Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - In: Journal of risk 17 (2014/2015) 5, pp. 69-97
Persistent link: https://www.econbiz.de/10011438894
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Why risk is so hard to measure
Daníelsson, Jón; Chen Zhou - 2016
Persistent link: https://www.econbiz.de/10011415993
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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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Modeling operational risk incorporating reputation risk : an integrated analysis for financial firms
Eckert, Christian; Gatzert, Nadine - In: Insurance / Mathematics & economics 72 (2017), pp. 122-137
Persistent link: https://www.econbiz.de/10011694399
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Integrating operational and financial risk assessments
Figini, Silvia; Kenett, Ron; Salini, Silvia - 2010
Persistent link: https://www.econbiz.de/10011752232
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Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
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Using weighted distributions to model operational risk
Afonso, Lourdes B.; Real, Pedro Corte - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 469-485
Persistent link: https://www.econbiz.de/10011576788
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Qualitative analysis of operational risks : a step-by-step approach
Tripathi, Akhilesh - In: Praj̄nȧn : journal of social and management sciences 45 (2016) 2, pp. 143-164
Persistent link: https://www.econbiz.de/10011577064