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Practices and issues in operational risk modeling under Basel II · Study

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ArticlePractices and issues in operational risk modeling under Basel II

Paul Embrechts A2011

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Articlegreen2011

Practices and issues in operational risk modeling under Basel II

Paul Embrechts A · Marius Hofert

12 citations·0/0 files stored·Lithuanian Mathematical Journal

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Risk Management in Financial Firms Financial Risk and Volatility Modeling Probability and Risk Models

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References

2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative models for operational risk: Extremes, dependence and aggregation 2006Infinite-mean models and the LDA for operational risk 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT 2006Aggregating risk capital, with an application to operational risk 2008Aggregating operational risk across matrix structured loss data

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Year2011

Typearticle

Published2011-04-01

VenueLithuanian Mathematical Journal

ISSN-L0363-1672

Languageen

Citations12

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.1007/s10986-011-9118-4

openalex_workW2062834366

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