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Correlation and diversification effects in operational risk modelling

Frachot, Antoine; Roncalli, Thierry; Salomon, Eric - In: Operational risk : practical approaches to implementation, (pp. 23-37). 2005

Persistent link: https://www.econbiz.de/10003285527

Impacts of geographic diversification on restaurant firms' risk : domestic vs. international diversification

Song, Sujin; Park, Sungbeen; Lee, Seoki - In: International journal of hospitality management 61 (2017), pp. 107-118

Persistent link: https://www.econbiz.de/10011646136

The limit of diversification: a lower bound on firm-wide operational risk capital

Balta, Emre; Degen, Matthias - In: The journal of operational risk 9 (2014/2015) 1, pp. 3-31

Persistent link: https://www.econbiz.de/10013262959

Changes in operational risk and its determinants under Covid-19

Wang, Zongrun; Fu, Haiqin; Zhou, Ling - In: The journal of operational risk 17 (2022) 3, pp. 61-83

Persistent link: https://www.econbiz.de/10014247285

The Limit of Diversification - A Lower Bound on Firmwide Operational Risk Capital

Balta, Emre - 2013

The quantification of diversification benefit plays a critical role in quantitative risk models, especially within the … uncertainty surrounding the modeling of dependencies makes quantitative analysis of diversification a challenging task. By using … diversification benefit) in the presence of dependent underlying risk factors. Our methodology quantifies the modeling uncertainty by …

Persistent link: https://www.econbiz.de/10013074812

Frictional diversification costs: Evidence from a panel of fund of hedge fund holdings

Joenväärä, Juha; Scherer, Bernd - In: Journal of empirical finance 52 (2019), pp. 92-111

Persistent link: https://www.econbiz.de/10012170643

Incremental value-at-risk

Mitic, Peter; Cooper, James; Bloxham, Nicholas - In: The journal of risk model validation 14 (2020) 1, pp. 65-101

Persistent link: https://www.econbiz.de/10014335925

Benchmarking operational risk stress testing models

Curti, Filippo; Migueis, Marco; Stewart, Robert T. - 2018

The Federal Reserve's Comprehensive Capital Analysis and Review (CCAR) requires large bank holding companies (BHCs) to project losses under stress scenarios. In this paper, we propose multiple benchmarks for operational loss projections and document the industry distribution relative to these...

Persistent link: https://www.econbiz.de/10012181176

Market orientation, balance sheets and risk profile of Islamic banks

Anjum, Shahid - In: International journal of economic policy in emerging … 8 (2015) 4, pp. 318-331

Persistent link: https://www.econbiz.de/10011505986

Benchmarking operational risk stress testing models

Curti, Filippo; Migueis, Marco; Stewart, Robert T. - In: The journal of operational risk 15 (2020) 2, pp. 27-42

Persistent link: https://www.econbiz.de/10013177363