Quantitative models for operational risk: Extremes, dependence and aggregation
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References listed on IDEAS
- Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
- Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni, 2005. "Worst VaR scenarios," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 115-134, August.
- 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.
- Frachot, Antoine & Roncalli, Thierry & Salomon, Eric, 2004. "The Correlation Problem in Operational Risk," MPRA Paper 38052, University Library of Munich, Germany.
- 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.
- Pfeifer, Dietmar & Nešlehová, Johana, 2004. "Modeling and Generating Dependent Risk Processes for IRM and DFA," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 34(02), pages 333-360, November.
- 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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