Modeling operational risk data reported above a time-varying threshold
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References listed on IDEAS
- Pavel V. Shevchenko, 2009. "Implementing Loss Distribution Approach for Operational Risk," Papers 0904.1805, arXiv.org, revised Jul 2009.
- Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
- 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.
- Chavez-Demoulin, V. & Embrechts, P. & Neslehova, J., 2006. "Quantitative models for operational risk: Extremes, dependence and aggregation," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2635-2658, October.
- Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Dynamic operational risk: modeling dependence and combining different sources of information," Papers 0904.4074, arXiv.org, revised Jul 2009.
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- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2010.
"An efficient threshold choice for operational risk capital computation,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2010. "An efficient threshold choice for operational risk capital computation," Documents de travail du Centre d'Economie de la Sorbonne 10096, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2011.
- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2011. "An efficient threshold choice for operational risk capital computation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00790217, HAL.
- repec:gam:jrisks:v:5:y:2017:i:3:p:49-:d:111862 is not listed on IDEAS
- Bakhodir Ergashev & Konstantin Pavlikov & Stan Uryasev & Evangelos Sekeris, 2016. "Estimation of Truncated Data Samples in Operational Risk Modeling," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(3), pages 613-640, September.
- 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.
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