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Modelling Operational Risk
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Modelling Operational Risk (2001)Modelling Operational RiskCommon Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …Probabilistic Risk Analysis (2001)Probabilistic Risk AnalysisProbabilistic risk analysis (2001)Probabilistic risk analysisAn Academic Response to Basel II (2001)An Academic Response to Basel…Extremes and integrated risk management (2000)Extremes and integrated risk …Psychology and Economics (1997)Psychology and EconomicsModelling Extremal Events (1997)Modelling Extremal EventsRuin theory revisited: stochastic models for operational risk (2002)Ruin theory revisited: stocha…A model of investor sentiment /Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Individual differences in reasoning: Implications for the rationality debate? (2000)Heuristics and Biases: The Psychology of Intuitive Judgment (2004)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)Are the Largest Banking Organizations Operationally More Risky? (2022)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)An Introduction to Copulas (1999)Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2006)The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinions (2006)Hierarchical Insurance Claims Modeling (2008)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Implementing loss distribution approach for operational risk (2009)TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts (2011)Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (2013)The simple economics of bank fragility (2004)A comparison of extreme value theory approaches for determining value at risk (2005)Modeling and optimization of risk (2010)Modelling, making inferences and making decisions: The roles of sensitivity analysis (2003)Quantitative Risk Assessment: The Scientific Platform (2011)How to define and interpret a probability in a risk and safety setting (2012)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)The Theory of Global Games on Test: Experimental Analysis of Coordination Games with Public and Private Information (2004)An Academic Response to Basel 3.5 (2014)Procyclical Capital Regulation and Lending (2015)An overview of quantitative risk measures for loss of life and economic damage (2003)Climate Change: New Dimensions in Disaster Risk, Exposure, Vulnerability, and Resilience (2012)A practical guide to structured expert elicitation using the IDEA protocol (2017)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1997Psychology and Economics2,494 cited
  • 2001Probabilistic Risk Analysis756 cited
  • 2001An Academic Response to Basel II274 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
  • 2000Extremes and integrated risk management187 cited
  • 2001Probabilistic risk analysis120 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling107 cited

Cited by

  • 2002Ruin theory revisited: stochastic models for operational risk44 cited

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