Implications of Alternative Operational Risk Modeling Techniques
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Other versions of this item:
- 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.
References listed on IDEAS
- M.J.B. Hall, 1996.
"The amendment to the capital accord to incorporate market risk,"
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- Huisman, Ronald, et al, 2001. "Tail-Index Estimates in Small Samples," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 208-216, April.
- Beverly Hirtle, 2003. "What market risk capital reporting tells us about bank risk," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 37-54.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Xiaoping Zhou & Rosella Giacometti & Frank J. Fabozzi & Ann H. Tucker, 2014. "Bayesian estimation of truncated data with applications to operational risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 863-888, May.
- Tursunalieva, Ainura & Silvapulle, Param, 2016. "Nonparametric estimation of operational value-at-risk (OpVaR)," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 194-201.
- Marco Flores, 2013. "Cuantificación del riesgo operacional mediante modelos de pérdidas agregadas y simulación de Monte Carlo," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, vol. 5(1), pages 39-48, Junio.
- repec:gam:jrisks:v:6:y:2018:i:2:p:41-:d:142597 is not listed on IDEAS
- Séverine Plunus & Georges Hübner & Jean-Philippe Peters, 2012. "Measuring operational risk in financial institutions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(18), pages 1553-1569, September.
- Daniel Kapp & Marco Vega, 2012.
"Real Output Costs of Financial Crises: A Loss Distribution Approach,"
1201.0967, arXiv.org, revised May 2012.
- Kapp, Daniel & Vega, Marco, 2012. "Real output costs of financial crises: a loss distribution approach," MPRA Paper 35706, University Library of Munich, Germany.
- Kapp, Daniel & Vega, Marco, 2012. "The Real Output Costs of Financial Crisis: A Loss Distribution Approach," Working Papers 2012-013, Banco Central de Reserva del Perú.
- Andreas Jobst, 2007. "Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose," IMF Working Papers 07/239, International Monetary Fund.
More about this item
- G2 - Financial Economics - - Financial Institutions and Services
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-13 (All new papers)
- NEP-FIN-2005-02-13 (Finance)
- NEP-RMG-2005-02-13 (Risk Management)
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