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My bibliography Save this paperExtremal Events in a Bank Operational Losses
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- Dahen, Hela & Dionne, Georges & Zajdenweber, Daniel, 2010. "Extremal events in a bank operational losses," Working Papers 10-2, HEC Montreal, Canada Research Chair in Risk Management.
References listed on IDEAS
- Chapelle, Ariane & Crama, Yves & Hübner, Georges & Peters, Jean-Philippe, 2008.
"Practical methods for measuring and managing operational risk in the financial sector: A clinical study,"
Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1049-1061, June.
- Georges Hübner & Jean-Philippe Peters, 2008. "Practical methods for measuring and managing operational risk in the financial sector: a clinical study," ULB Institutional Repository 2013/14158, ULB -- Universite Libre de Bruxelles.
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More about this item
Keywords
Bank operational loss; value at risk; Pareto distribution; insurance premium; extremal event;All these keywords.
JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2010-03-28 (Banking)
- NEP-RMG-2010-03-28 (Risk Management)
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