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Cyclicality in catastrophic and operational risk measurements · Study

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ArticleCyclicality in catastrophic and operational risk measurements

Linda Allen2006

OA

Articlegreen2006

Cyclicality in catastrophic and operational risk measurements

Linda Allen · Turan G. Bali

118 citations·0/0 files stored·Journal of Banking & Finance

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

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References

1993Common risk factors in the returns on stocks and bonds 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1987A Simple Model of Capital Market Equilibrium with Incomplete Information 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 1987Extreme Values, Regular Variation and Point Processes

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2013EXTREME VALUE THEORY IN FINANCE: A SURVEY 2004Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature 2021Risk Assessment of the SME Sector Operations during the COVID-19 Pandemic 2022Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies 2010The Known, the Unknown, and the Unknowable in Financial Risk Management

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Details

Year2006

Typearticle

Published2006-11-30

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations118

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2006.10.007

openalex_workW3122814677

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