What about Underevaluating Operational Value at Risk in the Banking Sector?
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- Dahen, Hela & Dionne, Georges, 2010.
"Scaling models for the severity and frequency of external operational loss data,"
Journal of Banking & Finance,
Elsevier, vol. 34(7), pages 1484-1496, July.
- Hela Dahen & Georges Dionne, 2007. "Scaling Models for the Severity and Frequency of External Operational Loss Data," Cahiers de recherche 0702, CIRPEE.
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KeywordsOperational risk in banks; severity distribution; frequency distribution; operational VaR; operational risk management;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-24 (All new papers)
- NEP-BAN-2007-09-24 (Banking)
- NEP-RMG-2007-09-24 (Risk Management)
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