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Modelling Operational Risk Using Bayesian Inference
9 references·4 citing·38 second hop
Modelling Operational Risk Using Bayesian Inference (2011)Modelling Operational Risk Using Bayesian…Infinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …Using Bayesian Networks to Model Expected and Unexpected Operational Losses (2005)Using Bayesian Networks to Mo…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Risk contributions and performance measurement (2000)Risk contributions and perfor…Insurance Risk Models (1994)Insurance Risk ModelsEstimating Tails of Probability Distributions (1987)Estimating Tails of Probabili…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Computational approaches and data analytics in financial services: A literature review (2019)Computational approaches and …Copula approaches for modeling cross-sectional dependence of data breach losses (2018)Copula approaches for modelin…An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates (2015)An Extreme Value Approach for…Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework (2012)Predicting Multivariate Insur…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Capital market equilibrium in a mean-lower partial moment framework (1977)Risk capital allocation by coherent risk measures based on one-sided moments (2003)External Risk Measures and Basel Accords (2013)What is the best risk measure in practice? A comparison of standard measures (2015)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)An Introduction to Statistical Modeling of Extreme Values (2001)Statistics and Quantitative Risk Management for Banking and Insurance (2014)Data breaches: Goodness of fit, pricing, and risk measurement (2017)Cyber claim analysis using Generalized Pareto regression trees with applications to insurance (2021)Economic Perspectives (1998)Network theory-based analysis of risk interactions in large engineering projects (2012)Retrospective analysis of uncertain eruption precursors at La Soufrière volcano, Guadeloupe, 1975–77: volcanic hazard assessment using a Bayesian Belief Network approach (2014)Artificial intelligence techniques for enhancing supply chain resilience: A systematic literature review, holistic framework, and future research (2023)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Further Results on Recursive Evaluation of Compound Distributions (1981)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)On a risk model with dependence between interclaim arrivals and claim sizes (2006)The limits of diversification when losses may be large (2007)Nondiversification Traps in Catastrophe Insurance Markets (2008)Tail risk of contagious diseases (2020)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 1987Estimating Tails of Probability Distributions627 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 1994Insurance Risk Models276 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 2005Using Bayesian Networks to Model Expected and Unexpected Operational Losses152 cited

Cited by

  • 2015An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates129 cited
  • 2018Copula approaches for modeling cross-sectional dependence of data breach losses74 cited
  • 2019Computational approaches and data analytics in financial services: A literature review67 cited
  • 2012Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework56 cited

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