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Capital and Risk: New Evidence on Implications of Large Operational Losses
12 references·11 citing·45 second hop
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this work references cited by second hop

References

  • 1983Limited-dependent and qualitative variables in econometrics13,257 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1999Zipf's Law for Cities: An Explanation2,043 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?531 cited
  • 2001An Academic Response to Basel II274 cited
  • 2007Evaluation of Value-at-Risk Models Using Historical Data249 cited
  • 1998Credit Risk in Private Debt Portfolios247 cited
  • 1997Evaluating Value at Risk Methodologies: Accuracy versus Computational Time244 cited
  • 1997The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions95 cited
  • 1997Raroc Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation77 cited

Cited by

  • 2006Aggregating risk capital, with an application to operational risk65 cited
  • 2004Implications of Alternative Operational Risk Modeling Techniques62 cited
  • 2006What We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches45 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2018Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies42 cited
  • 2007Financial Sector Integration and Information Spillovers: Effects of Operational Risk Events on U.S. Banks and Insurers36 cited
  • 2004Cyclicality in Catastrophic and Operational Risk Measurements34 cited
  • 2008Reputational Risk and Conflicts of Interest in Banking and Finance: The Evidence So Far33 cited
  • 2010Identifying Operational Risk Exposures in Islamic Banking31 cited
  • 2015Managing operational disruptions through capital adequacy and process improvement30 cited
  • 2007Implications of Alternative Operational Risk Modeling Techniques26 cited
  • 2013Institutionalizing Operational Risk Management: An Empirical Study20 cited