Using a time series approach to correct serial correlation in Operational Risk capital calculation
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- Dominique Guegan & Bertrand Hassani, 2013. "Using a time series approach to correct serial correlation in operational risk capital calculation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00771387, HAL.
References listed on IDEAS
- Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
- repec:cup:jfinqa:v:46:y:2011:i:06:p:1683-1725_00 is not listed on IDEAS
- repec:hal:journl:halshs-00639484 is not listed on IDEAS
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- repec:hal:wpaper:halshs-00722029 is not listed on IDEAS
- Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
More about this item
KeywordsOperational risk; time series; Gegenbauer processes; Monte Carlo; risk measures;
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
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