Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation
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References listed on IDEAS
- 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.
- Bakhodir Ergashev, 2012. "A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling," Journal of Financial Services Research, Springer;Western Finance Association, vol. 41(3), pages 145-161, June.
- Ganegoda, Amandha & Evans, John, 2013. "A scaling model for severity of operational losses using generalized additive models for location scale and shape (GAMLSS)," Annals of Actuarial Science, Cambridge University Press, vol. 7(01), pages 61-100, March.
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- Stefanescu, Razvan & Dumitriu, Ramona, 2015.
"Alegerea soluţiilor pentru expunerile faţă de risc
[Choosing solutions to risk exposures]," MPRA Paper 65074, University Library of Munich, Germany.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
- NEP-BAN-2013-06-16 (Banking)
- NEP-CBA-2013-06-16 (Central Banking)
- NEP-RMG-2013-06-16 (Risk Management)
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