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Flexible dependence modeling of operational risk losses and its impact on total capital requirements
16 references·6 citing·24 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2010Basel Committee On Banking Supervision1,591 cited
  • 1999Loss Models: From Data to Decisions1,232 cited
  • 1996Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters777 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 2013Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine499 cited

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  • 2006An Introduction to Copulas458 cited
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    • 2018Copula approaches for modeling cross-sectional dependence of data breach losses74 cited
    • 2017Hedging downside risk of oil refineries: A vine copula approach50 cited
    • 2015Modeling Operational Risk Incorporating Reputation Risk: An Integrated Analysis for Financial Firms40 cited
    • 2018Statistical arbitrage with vine copulas40 cited
    • 2017Examination and visualisation of the simplifying assumption for vine copulas in three dimensions39 cited
    • 2017Risk Measurement and Risk Modelling Using Applications of Vine Copulas35 cited