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Implications of Alternative Operational Risk Modeling Techniques

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References

1994Modelling of extremal events in insurance and finance3,519 cited
1999Zipf's Law for Cities: An Explanation2,043 cited
2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
1989A Moment Estimator for the Index of an Extreme-Value Distribution697 cited
2001Tail-Index Estimates in Small Samples293 cited
2003Using Loss Data to Quantify Operational Risk103 cited

Cited by

2008Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness93 cited
2010On the favorable estimation for fitting heavy tailed data56 cited
2006What We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches45 cited
2007The treatment of operational risk under the New Basel framework: Critical issues32 cited
2011Operational Risk - Scenario Analysis27 cited
2010A review of the key issues in operational risk capital modeling25 cited
2005Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework20 cited

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