Operational Risk - Scenario Analysis
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References listed on IDEAS
- Radovan Chalupka & Petr Teply, 2008. "Operational Risk Management and Implications for Bank’s Economic Capital – a Case Study," Working Papers IES 2008/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2008.
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- Häger, David & Andersen, Lasse B., 2010. "A knowledge based approach to loss severity assessment in financial institutions using Bayesian networks and loss determinants," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1635-1644, December.
- Milan Rippel & Lucie Suchánková & Petr Teplý, 2012.
"Pojištění jako nástroj řízení operačního rizika - případová studie
[The Role of Insurance in Operational Risk Mitigation - A Case Study]," Politická ekonomie, University of Economics, Prague, vol. 2012(4), pages 523-535.
- Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, University of Economics, Prague, vol. 2014(1), pages 24-41.
More about this item
Keywordsoperational risk; scenario analysis; economic capital; loss distribution approach; extreme value theory;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-13 (All new papers)
- NEP-CFN-2008-09-13 (Corporate Finance)
- NEP-ORE-2008-09-13 (Operations Research)
- NEP-RMG-2008-09-13 (Risk Management)
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