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Quantitative models for operational risk: Extremes, dependence and aggregation

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  • Chavez-Demoulin, V.
  • Embrechts, P.
  • Neslehova, J.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4JT3S3H-1/2/1b29e5bc6fa1d9a0fe283b866d335ecb
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 30 (2006)
    Issue (Month): 10 (October)
    Pages: 2635-2658

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    Handle: RePEc:eee:jbfina:v:30:y:2006:i:10:p:2635-2658

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.
    2. V. Chavez-Demoulin & P. Embrechts, 2004. "Smooth Extremal Models in Finance and Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 71(2), pages 183-199.
    3. Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research and International Relations Area.
    4. Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.
    5. Denuit, Michel & Lambert, Philippe, 2005. "Constraints on concordance measures in bivariate discrete data," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 40-57, March.
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    Cited by:
    1. Chapelle, Ariane & Crama, Yves & Hübner, Georges & Peters, Jean-Philippe, 2008. "Practical methods for measuring and managing operational risk in the financial sector: A clinical study," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1049-1061, June.
    2. Silvia Figini & Lijun Gao & Paolo Giudici, 2013. "Bayesian operational risk models," DEM Working Papers Series 047, University of Pavia, Department of Economics and Management.
    3. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    4. Pavel V. Shevchenko & Grigory Temnov, 2009. "Modeling operational risk data reported above a time-varying threshold," Papers 0904.4075, arXiv.org, revised Jul 2009.
    5. Jarrow, Robert A., 2008. "Operational risk," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 870-879, May.
    6. Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014. "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 271-285.
    7. Pavel V. Shevchenko & Gareth W. Peters, 2013. "Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation," Papers 1306.1882, arXiv.org.
    8. Peters, Gareth W. & Byrnes, Aaron D. & Shevchenko, Pavel V., 2011. "Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 287-303, March.
    9. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
    10. P. V. Shevchenko & M. V. W\"uthrich, 2009. "The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions," Papers 0904.1067, arXiv.org.
    11. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011. "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent) 070, University of Modena and Reggio E., Dept. of Economics.
    12. Daniela MATEI & Mioara CHIRITA, 2012. "Analysis of Operational Risks in Shipbuilding Industry," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 121-130.
    13. Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009. "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Papers 0904.2910, arXiv.org.
    14. Hans B\"uhlmann & Pavel V. Shevchenko & Mario V. W\"uthrich, 2009. "A "Toy" Model for Operational Risk Quantification using Credibility Theory," Papers 0904.1772, arXiv.org.
    15. Gareth W. Peters & Pavel V. Shevchenko & Mario V. W\"uthrich, 2009. "Dynamic operational risk: modeling dependence and combining different sources of information," Papers 0904.4074, arXiv.org, revised Jul 2009.
    16. Ainura Tursunalieva & Param Silvapulle, 2013. "Non-parametric Estimation of Operational Risk and Expected Shortfall," Monash Econometrics and Business Statistics Working Papers 23/13, Monash University, Department of Econometrics and Business Statistics.
    17. Münnix, Michael C. & Schäfer, Rudi, 2011. "A copula approach on the dynamics of statistical dependencies in the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4251-4259.
    18. Tong, Bin & Wu, Chongfeng & Xu, Weidong, 2012. "Risk concentration of aggregated dependent risks: The second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 139-149.
    19. Pavel V. Shevchenko, 2009. "Implementing Loss Distribution Approach for Operational Risk," Papers 0904.1805, arXiv.org, revised Jul 2009.
    20. Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012. "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, vol. 64(1), pages 90-104.

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