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An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates

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  • Valérie Chavez-Demoulin
  • Paul Embrechts
  • Marius Hofert

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  • Valérie Chavez-Demoulin & Paul Embrechts & Marius Hofert, 2016. "An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 735-776, September.
    • Handle: RePEc:bla:jrinsu:v:83:y:2016:i:3:p:735-776
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    References listed on IDEAS

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    1. Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
    2. William D. Nordhaus, 2009. "An Analysis of the Dismal Theorem," Levine's Working Paper Archive 814577000000000116, David K. Levine.
    3. Ibragimov, Rustam & Walden, Johan, 2008. "Portfolio diversification under local and moderate deviations from power laws," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 594-599, April.
    4. 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.
    5. Cummins, J. David & Lewis, Christopher M. & Wei, Ran, 2006. "The market value impact of operational loss events for US banks and insurers," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2605-2634, October.
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    7. 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.
    8. 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, June.
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    12. Robert Jarrow, 2017. "Operational Risk," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 8, pages 69-70, World Scientific Publishing Co. Pte. Ltd..
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    14. Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007. "Implications of Alternative Operational Risk Modeling Techniques," NBER Chapters, in: The Risks of Financial Institutions, pages 475-505, National Bureau of Economic Research, Inc.
    15. Pavel V. Shevchenko & Grigory Temnov, 2009. "Modeling operational risk data reported above a time-varying threshold," Papers 0904.4075, arXiv.org, revised Jul 2009.
    16. Kabir Dutta & Jason Perry, 2006. "A tale of tails: an empirical analysis of loss distribution models for estimating operational risk capital," Working Papers 06-13, Federal Reserve Bank of Boston.
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    18. Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
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