A Dynamical Approach to Operational Risk Measurement
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References listed on IDEAS
- Kühn, Reimer & Neu, Peter, 2003. "Functional correlation approach to operational risk in banking organizations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 650-666.
- R. G. Cowell & R. J. Verrall & Y. K. Yoon, 2007. "Modeling Operational Risk With Bayesian Networks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(4), pages 795-827.
- Kartik Anand & Reimer Kuhn, 2006. "Phase Transitions in Operational Risk," Papers physics/0609130, arXiv.org, revised Dec 2006.
- Bardoscia, M. & Bellotti, R., 2012.
"A dynamical model for forecasting operational losses,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 391(8), pages 2641-2655.
- Marco Bardoscia & Roberto Bellotti, 2010. "A Dynamical Model for Forecasting Operational Losses," Papers 1007.0026, arXiv.org, revised Feb 2012.
- Cornalba, Chiara & Giudici, Paolo, 2004. "Statistical models for operational risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 166-172.
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