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Aggregating risk capital, with an application to operational risk · Study

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ArticleAggregating risk capital, with an application to operational risk

Paul Embrechts A2006

OA

Articlebronze2006

Aggregating risk capital, with an application to operational risk

Paul Embrechts A · Giovanni Puccetti

65 citations·0/0 files stored·The Geneva Risk and Insurance Review

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 65 citations exist upstream.

References

1997Modelling Extremal Events 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2004A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks*2003Using copulae to bound the Value-at-Risk for functions of dependent risks 2006A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital 2006Quantitative models for operational risk: Extremes, dependence and aggregation 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Cited by

2014Reducing Model Risk via Positive and Negative Dependence Assumptions 2012RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY 2008Aggregation issues in operational risk 2009A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS

Details

Year2006

Typearticle

Published2006-12-01

VenueThe Geneva Risk and Insurance Review

ISSN-L1554-964X

Languageen

Citations65

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1007/s10713-006-0556-6

openalex_workW1972190329

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