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Capital and Risk: New Evidence on Implications of Large Operational Losses · Study

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PreprintCapital and Risk: New Evidence on Implications of Large Operational Losses

Patrick de Fontnouvelle2005

OA

Preprintgreen2005

Capital and Risk: New Evidence on Implications of Large Operational Losses

Patrick de Fontnouvelle · Virginia De Jesus-Rueff · John S. Jordan · Eric S. Rosengren

69 citations·0/0 files stored·SSRN Electronic Journal

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Banking stability, regulation, efficiency Insurance and Financial Risk Management Risk Management in Financial Firms

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References

1983Limited-dependent and qualitative variables in econometrics 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1999Zipf's Law for Cities: An Explanation 1997An Overview of Value at Risk 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?2001An Academic Response to Basel II 2007Evaluation of Value-at-Risk Models Using Historical Data

Cited by

2006Aggregating risk capital, with an application to operational risk 2004Implications of Alternative Operational Risk Modeling Techniques 2006What We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches 2018Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies 2007Financial Sector Integration and Information Spillovers: Effects of Operational Risk Events on U.S. Banks and Insurers 2004Cyclicality in Catastrophic and Operational Risk Measurements

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2006Capital and Risk: New Evidence on Implications of Large Operational Lossesarticle · 9 shared references 2003Using Loss Data to Quantify Operational Riskpreprint · 9 shared references 2013A comprehensive review of Value at Risk methodologiesarticle · 4 shared references 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measuresarticle · 4 shared references 2006Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponentspreprint · 4 shared references 2006Empirical study of value‐at‐risk and expected shortfall models with heavy tailsarticle · 4 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations69

Files0 public / 0

ShelfBanking stability, regulation, efficiency

Identifiers

doi10.2139/ssrn.648164

openalex_workW1512358644

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2008Reputational Risk and Conflicts of Interest in Banking and Finance: The Evidence So Far

2010Identifying Operational Risk Exposures in Islamic Banking