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CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory
11 references·0 citing·40 second hop
CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory (2012)CVaR measurement and operational risk man…The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)The Modelling of Operational …Operational Risk Modelling and Analysis: Theory and Practice (2004)Operational Risk Modelling an…QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK (2003)QUANTIFYING REGULATORY CAPITA…High volatility, thick tails and extreme value theory in value-at-risk estimation (2003)High volatility, thick tails …Extremes in Operational Risk Management (2002)Extremes in Operational Risk …CVaR models with selective hedging for international asset allocation (2002)CVaR models with selective he…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…A Study of Financial Analysts: Practice and Theory (1999)A Study of Financial Analysts…Modeling and measuring operational risk (1998)Modeling and measuring operat…Calculating quantile risk measures for financial return series using extreme value theory (1998)Calculating quantile risk mea…Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Applying robust methods to operational risk modeling (2006)Risk capital allocation for RORAC optimization (2011)On the aggregation of credit, market and operational risks (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk (2009)Extreme market risk and extreme value theory (2012)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Bounds for Functions of Dependent Risks (2006)Infinite-mean models and the LDA for operational risk (2006)An Academic Response to Basel 3.5 (2014)Dividend Policy, Growth, and the Valuation of Shares (1961)Finance Theory and Financial Strategy (1984)Efficient Capital Markets: II (1991)Information content of equity analyst reports (2004)The Use of Valuation Models by UK Investment Analysts (2008)Equity Asset Valuation (2015)Conditional value-at-risk for general loss distributions (2002)A dynamic stochastic programming model for international portfolio management (2006)Stability analysis of portfolio management with conditional value-at-risk (2007)Asset Allocation with Conditional Value-at-Risk Budgets (2012)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Empirical study of value‐at‐risk and expected shortfall models with heavy tails (2006)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Portfolio optimization based on GARCH-EVT-Copula forecasting models (2018)Stochastic time changes in catastrophe option pricing (1997)From value at risk to stress testing: The extreme value approach (2000)Operational Risk Management in Financial Services and the New Basel Accord (2004)Operational Risk (2007)Lectures on Stochastic Programming (2009)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Predicting financial crashes using discrete scale invariance (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Dynamic operational risk: modeling dependence and combining different sources of information (2009)Implementing loss distribution approach for operational risk (2009)
this work references cited by second hop

References

  • 2000Optimization of conditional value-at-risk6,722 cited
  • 1999Extreme Value Theory as a Risk Management Tool465 cited
  • 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited
  • 1999A Study of Financial Analysts: Practice and Theory225 cited
  • 2003High volatility, thick tails and extreme value theory in value-at-risk estimation166 cited
  • 2002CVaR models with selective hedging for international asset allocation113 cited
  • 2003QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK106 cited
  • 1998Calculating quantile risk measures for financial return series using extreme value theory89 cited
  • 2004Operational Risk Modelling and Analysis: Theory and Practice53 cited
  • 1998Modeling and measuring operational risk38 cited
  • 2002Extremes in Operational Risk Management33 cited

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