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Practices and issues in operational risk modeling under Basel II
8 references·0 citing·29 second hop
Practices and issues in operational risk modeling under Basel II (2011)Practices and issues in operational risk …Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…Aggregating operational risk across matrix structured loss data (2008)Aggregating operational risk …The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)The Quantitative Modeling of …The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)The Quantitative Modeling of …Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Quantitative models for opera…Infinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …Aggregating risk capital, with an application to operational risk (2006)Aggregating risk capital, wit…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Multivariate Archimax copulas (2014)Modelling Extremal Events (1997)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Model uncertainty and VaR aggregation (2013)Reducing Model Risk via Positive and Negative Dependence Assumptions (2014)Frameworks and Results in Distributionally Robust Optimization (2022)An Introduction to Statistical Modeling of Extreme Values (2001)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)What do we know about cyber risk and cyber risk insurance? (2016)Modelling of extremal events in insurance and finance (1994)Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)What is the Best Risk Measure in Practice? A Comparison of Standard Measures (2013)Extreme Values, Regular Variation and Point Processes (1987)The quantification of operational risk using internal data, relevant external data and expert opinion (2007)Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2008)A discussion on mean excess plots (2010)The limits of diversification when losses may be large (2007)Nondiversification Traps in Catastrophe Insurance Markets (2008)Tail risk of contagious diseases (2020)Risk Aggregation (2010)Approximation and estimation of very small probabilities of multivariate extreme events (2016)EVT-based estimation of risk capital and convergence of high quantiles (2008)Implementing loss distribution approach for operational risk (2009)Risk concentration and diversification: Second-order properties (2010)
this work references cited by second hop

References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006Quantitative models for operational risk: Extremes, dependence and aggregation265 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited
  • 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT125 cited
  • 2007The Quantitative Modeling of Operational Risk: Between G-and-H and EVT71 cited
  • 2006Aggregating risk capital, with an application to operational risk65 cited
  • 2008Aggregating operational risk across matrix structured loss data30 cited

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