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Modeling and measuring operational risk
3 references·3 citing·21 second hop
Modeling and measuring operational risk (1998)Modeling and measuring operational riskFrom value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …Stochastic time changes in catastrophe option pricing (1997)Stochastic time changes in ca…Modelling Extremal Events (1997)Modelling Extremal EventsCVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory (2012)CVaR measurement and operatio…Operational Risk (2007)Operational RiskOperational Risk Management in Financial Services and the New Basel Accord (2004)Operational Risk Management i…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)An Equilibrium Model of Catastrophe Insurance Futures and Spreads (1999)Indifference prices of structured catastrophe (CAT) bonds (2007)Pricing catastrophe swaps: A contingent claims approach (2011)Extreme Value Theory as a Risk Management Tool (1999)Optimization of conditional value-at-risk (2000)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Modelling of extremal events in insurance and finance (1994)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Coherent Measures of Risk (1999)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Analysis of Financial Time Series (2006)Value At Risk: The New Benchmark for Managing Financial Risk (2000)Risk management in banks : determination of practices and relationship with performance (2015)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)Maximum-Likelihood Estimation (2017)An Introduction to Statistical Modeling of Extreme Values (2001)Extreme Correlation of International Equity Markets (2001)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 1997Stochastic time changes in catastrophe option pricing64 cited

Cited by

  • 2012CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory24 cited
  • 2004Operational Risk Management in Financial Services and the New Basel Accord19 cited
  • 2007Operational Risk15 cited

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