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Practical methods for measuring and managing operational risk in the financial sector: A clinical study
16 references·14 citing·30 second hop
Practical methods for measuring and managing operational risk in the financial sector: A clinical study (2007)Practical methods for measuring and manag…Basel Committee On Banking Supervision (2010)Basel Committee On Banking Su…Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Quantitative models for opera…Copula Methods in Finance (2004)Copula Methods in FinanceRisk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Risk Management: Value at Risk and Beyond (2002)Risk Management: Value at Ris…Modeling, Measuring and Hedging Operational Risk (2002)Modeling, Measuring and Hedgi…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Tail-Index Estimates in Small Samples (2001)Tail-Index Estimates in Small…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Extreme value theory for risk managers (1999)Extreme value theory for risk…An Introduction to Copulas (1999)An Introduction to CopulasModelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Residual Life Time at Great Age (1974)Residual Life Time at Great A…Applied Economic Forecasting (1967)Applied Economic ForecastingDoes Operational Risk Management Benefit from FinTech? (2023)Does Operational Risk Managem…Does digital transformation matter for operational risk exposure? 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(2010)Markets: The Credit Rating Agencies (2010)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Enjoy the Joy of Copulas: With a Packagecopula (2007)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Introductory Econometrics for Finance (2008)Forecasting Volatility in Financial Markets: A Review (2003)
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References

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  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2010Basel Committee On Banking Supervision1,591 cited
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  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
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  • 2003Risk Management: Value at Risk and Beyond340 cited
  • 2002Risk Management: Value at Risk and Beyond338 cited
  • 2001Tail-Index Estimates in Small Samples293 cited
  • 2002Modeling, Measuring and Hedging Operational Risk281 cited
  • 1999Extreme value theory for risk managers268 cited
  • 2006Quantitative models for operational risk: Extremes, dependence and aggregation265 cited

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Cited by

  • 2013EXTREME VALUE THEORY IN FINANCE: A SURVEY112 cited
  • 2017Data breaches: Goodness of fit, pricing, and risk measurement97 cited
  • 2009Scaling models for the severity and frequency of external operational loss data75 cited
  • 2013Flexible dependence modeling of operational risk losses and its impact on total capital requirements58 cited
  • 2023Does digital transformation matter for operational risk exposure?57 cited
  • 2016Operational Risk in Financial Services: A Review and New Research Opportunities46 cited
  • 2009Pricing catastrophe options with stochastic claim arrival intensity in claim time39 cited
  • 2023Does Operational Risk Management Benefit from FinTech?37 cited
  • 2017Enabling Effective Operational Risk Management in a Financial Institution: An Action Research Study36 cited
  • 2012RISK INTEGRATION MECHANISMS AND APPROACHES IN BANKING INDUSTRY36 cited
  • 2007Scaling Models for the Severity and Frequency of External Operational Loss Data33 cited
  • 2015The practice of IFSB guiding principles of risk management by Islamic banks28 cited
  • 2009A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS27 cited
  • 2022Operational risk assessment of third-party payment platforms: a case study of China20 cited