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Double correlation model for operational risk: Evidence from Chinese commercial banks
16 references·0 citing·38 second hop
Double correlation model for operational risk: Evidence from Chinese commercial banks (2018)Double correlation model for operational …An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates (2015)An Extreme Value Approach for…Model uncertainty and VaR aggregation (2013)Model uncertainty and VaR agg…Sampling nested Archimedean copulas (2008)Sampling nested Archimedean c…Selecting copulas for risk management (2007)Selecting copulas for risk ma…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Loss Distribution Approach in Practice (2007)Loss Distribution Approach in…Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Quantitative models for opera…LDA at work: Deutsche Bank's approach to quantifying operational risk (2006)LDA at work: Deutsche Bank's …Infinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …Cyclicality in catastrophic and operational risk measurements (2006)Cyclicality in catastrophic a…Bounds for Functions of Dependent Risks (2006)Bounds for Functions of Depen…Using Bayesian Networks to Model Expected and Unexpected Operational Losses (2005)Using Bayesian Networks to Mo…The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)The Modelling of Operational …A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks* (2004)A General Approach to Integra…Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Using copulae to bound the Va…Statistical Extremes and Applications (1984)Statistical Extremes and Appl…Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)An Academic Response to Basel 3.5 (2014)An Introduction to Copulas (1999)Coherent Measures of Risk (1999)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Aggregation-robustness and model uncertainty of regulatory risk measures (2015)What is the best risk measure in practice? A comparison of standard measures (2015)Copula Methods in Finance (2004)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Sampling Archimedean copulas (2008)Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions (2010)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? (2012)The structure and degree of dependence: A quantile regression approach (2012)Commodity and equity markets: Some stylized facts from a copula approach (2013)Models for Exceedances Over High Thresholds (1990)Bivariate Threshold Methods for Extremes (1992)On optimising the estimation of high quantiles of a probability distribution (2003)Modelling Dependence with Copulas and Applications to Risk Management (2003)Testing the Gaussian copula hypothesis for financial assets dependences (2003)The limits of diversification when losses may be large (2007)Nondiversification Traps in Catastrophe Insurance Markets (2008)Tail risk of contagious diseases (2020)Risk Assessment for Banking Systems (2006)Basel Committee On Banking Supervision (2010)Copula Methods for Forecasting Multivariate Time Series (2013)
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References

  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2004A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks*351 cited
  • 2013Model uncertainty and VaR aggregation295 cited
  • 2007Selecting copulas for risk management288 cited
  • 2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
  • 2006Quantitative models for operational risk: Extremes, dependence and aggregation265 cited
  • 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee251 cited
  • 2008Sampling nested Archimedean copulas244 cited
  • 1984Statistical Extremes and Applications223 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 2005Using Bayesian Networks to Model Expected and Unexpected Operational Losses152 cited
  • 2006Bounds for Functions of Dependent Risks146 cited
  • 2015An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates129 cited
  • 2006Cyclicality in catastrophic and operational risk measurements118 cited
  • 2007Loss Distribution Approach in Practice111 cited

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  • 2006LDA at work: Deutsche Bank's approach to quantifying operational risk93 cited
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