Operational–risk Dependencies and the Determination of Risk Capital
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References listed on IDEAS
- Christian Genest & Jean‐François Quessy & Bruno Rémillard, 2006. "Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366, June.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Oliver Kley & Claudia KlÃ¼ppelberg & Sandra Paterlini, 2019. "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," DEM Working Papers 2019/2, Department of Economics and Management.
- Oliver Kley & Claudia Kluppelberg & Sandra Paterlini, 2019. "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," Papers 1902.03041, arXiv.org.
- Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014. "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 271-285.
More about this item
KeywordsCopula; Nonparametric Tail Dependence; Basel II; Loss Distribution Approach; Value–at–Risk; Subadditivity;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2011-09-05 (Econometrics)
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