Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
Download full text from publisher
References listed on IDEAS
- Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007.
"Implications of Alternative Operational Risk Modeling Techniques,"
NBER Chapters,in: The Risks of Financial Institutions, pages 475-512
National Bureau of Economic Research, Inc.
- Patrick de Fontnouvelle & Eric S. Rosengren & John S. Jordan, 2004. "Implications of alternative operational risk modeling techniques," Working Papers 04-9, Federal Reserve Bank of Boston.
- Patrick de Fontnouvelle & John Jordan & Eric Rosengren, 2005. "Implications of Alternative Operational Risk Modeling Techniques," NBER Working Papers 11103, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gualter Couto & Kevin Medeiros Bulhões, 2009. "Basel II: operation risk measurement in the Portuguese banking sector," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(3), pages 259-278.
- Imad Moosa, 2012. "Basel 2.5: A lot of sizzle but little nutritional value," Journal of Banking Regulation, Palgrave Macmillan, vol. 13(4), pages 320-335, November.
- International Monetary Fund, 2011. "United Kingdom; Stress Testing the Banking Sector Technical Note," IMF Staff Country Reports 11/227, International Monetary Fund.
- Benjamin Collier & Ani L. Katchova & Jerry R. Skees, 2011.
"Loan portfolio performance and El Niño, an intervention analysis,"
Agricultural Finance Review,
Emerald Group Publishing, vol. 71(1), pages 98-119, May.
- Collier, Benjamin & Katchova, Ani L. & Skees, Jerry R., 2010. "Loan Portfolio Performance and El Niño, an Intervention Analysis," 2010 Annual Meeting, February 6-9, 2010, Orlando, Florida 56217, Southern Agricultural Economics Association.
- International Monetary Fund, 2014. "People’s Republic of China–Hong Kong Special Administrative Region; Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note," IMF Staff Country Reports 14/210, International Monetary Fund.
- International Monetary Fund, 2013. "Belgium; Technical Note on Stress Testing the Banking and Insurance Sectors," IMF Staff Country Reports 13/137, International Monetary Fund.
- International Monetary Fund, 2010. "United States; Publication of Financial Sector Assessment Program Documentation: Technical Note on Stress Testing," IMF Staff Country Reports 10/244, International Monetary Fund.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- International Monetary Fund, 2011. "Germany; Technical Note on Stress Testing," IMF Staff Country Reports 11/371, International Monetary Fund.
- Andreas A. Jobst & Dale F. Gray, 2013. "Systemic Contingent Claims Analysis; Estimating Market-Implied Systemic Risk," IMF Working Papers 13/54, International Monetary Fund.
- Jobst, Andreas A., 2014.
"Measuring systemic risk-adjusted liquidity (SRL)—A model approach,"
Journal of Banking & Finance,
Elsevier, vol. 45(C), pages 270-287.
- Andreas Jobst, 2012. "Measuring Systemic Risk-Adjusted Liquidity (SRL); A Model Approach," IMF Working Papers 12/209, International Monetary Fund.
- Andreas A. Jobst, 2007. "It's all in the data – consistent operational risk measurement and regulation," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 15(4), pages 423-449, November.
- Mora Valencia Andrés, 2014. "El uso de la distribución g-h en riesgo operativo," Contaduría y Administración, Accounting and Management, vol. 59(1), pages 123-148, enero-mar.
- International Monetary Fund, 2011. "Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector," IMF Staff Country Reports 11/286, International Monetary Fund.
- Jobst, Andreas A., 2013. "Multivariate dependence of implied volatilities from equity options as measure of systemic risk," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 112-129.
More about this item
KeywordsBank regulations; Economic models; Financial risk; Operational risk; Risk management; financial regulation; Basel Committee; Basel II; New Basel Capital Accord; extreme value theory; generalized extreme value (GEV) distribution; extreme value theory (EVT); generalized Pareto distribution (GPD); peak-over-threshold (POT) method; g-and-h distribution; fat tail behavior; extreme tail behavior; Value-at-Risk (VaR); Advanced Measurement Approaches (AMA); risk measurement; statistics; banking; estimation method; probability; optimization;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-01 (All new papers)
- NEP-BAN-2008-03-01 (Banking)
- NEP-RMG-2008-03-01 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:07/239. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi). General contact details of provider: http://edirc.repec.org/data/imfffus.html .