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Using Loss Data to Quantify Operational Risk · Study

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PreprintUsing Loss Data to Quantify Operational Risk

Patrick de Fontnouvelle2003

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Preprintgreen2003

Using Loss Data to Quantify Operational Risk

Patrick de Fontnouvelle · Virginia De Jesus-Rueff · John S. Jordan · Eric S. Rosengren

103 citations·0/0 files stored·SSRN Electronic Journal

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Risk Management in Financial Firms Banking stability, regulation, efficiency Financial Risk and Volatility Modeling

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References

1983Limited-dependent and qualitative variables in econometrics 2001An Introduction to Statistical Modeling of Extreme Values 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1999Zipf's Law for Cities: An Explanation 2002How Accurate Are Value‐at‐Risk Models at Commercial Banks?2001Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation 2001An Academic Response to Basel II

Cited by

2005Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements 2007Loss Distribution Approach in Practice 2012Operational and reputational risk in the European banking industry: The market reaction to operational risk events 2007Practical methods for measuring and managing operational risk in the financial sector: A clinical study 2004A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk 2005Implications of Alternative Operational Risk Modeling Techniques

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2005Capital and Risk: New Evidence on Implications of Large Operational Lossespreprint · 9 shared references 2006Capital and Risk: New Evidence on Implications of Large Operational Lossesarticle · 8 shared references 2014Extreme Value Theory and Statistics of Univariate Extremes: A Reviewarticle · 4 shared references 2015Statistics of Extremesreview · 4 shared references 2006Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponentspreprint · 4 shared references 2015An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariatesarticle · 4 shared references

Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations103

Files0 public / 0

ShelfRisk Management in Financial Firms

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doi10.2139/ssrn.395083

openalex_workW2107795980

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2005The Present and Future of Financial Risk Management

2010Basel II and Operational Risk: Implications for Risk Measurement and Management in the Financial Sector