There is a renewed interest of banks and supervisors in operational risk. In the new Capital Adequacy Framework of June 1999 the Basel Committee calls for capital charges for operational risks as a component of Pillar one...

Die folgende Vorlage will als Hilfe bei der Entwicklung, Formulierung und Überprüfung der Risikopolitk einer Bank dienen...

Praktiker wie Akademiker setzen sich im Allgemeinen mit Finanzrisiken vertieft auseinander und vernachlässigen dabei die übrigen Risiken. Damit geht ein unnötiger Wertverzehr einher...

It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...