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The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
15 references·4 citing·31 second hop
The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)The Quantitative Modeling of Operational …Multivariate models for operational risk (2010)Multivariate models for opera…The quantification of operational risk using internal data, relevant external data and expert opinion (2007)The quantification of operati…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Operational Risk (2006)Operational RiskInfinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital (2006)A Tale of Tails: An Empirical…Subadditivity Re-Examined: The Case for Value-At-Risk (2005)Subadditivity Re-Examined: Th…Statistics of Extremes (2004)Statistics of ExtremesHeavy-Tailed Distributions and Rating (2001)Heavy-Tailed Distributions an…An Academic Response to Basel II (2001)An Academic Response to Basel…A Diagnostic for Selecting the Threshold in Extreme Value Analysis (2001)A Diagnostic for Selecting th…Extremes and integrated risk management (2000)Extremes and integrated risk …Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Modelling Extremal Events (1997)Modelling Extremal EventsExtreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Operational Risk - Scenario Analysis (2011)Operational Risk - Scenario A…Risk concentration and diversification: Second-order properties (2010)Risk concentration and divers…Implementing loss distribution approach for operational risk (2009)Implementing loss distributio…A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS (2009)A PIECEWISE-DEFINED SEVERITY …ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007)EXTREME VALUE THEORY IN FINANCE: A SURVEY (2013)An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates (2015)An Introduction to Statistical Modeling of Extreme Values (2001)The limits of diversification when losses may be large (2007)Nondiversification Traps in Catastrophe Insurance Markets (2008)Tail risk of contagious diseases (2020)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)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Empirical properties of asset returns: stylized facts and statistical issues (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)Power Laws in Economics and Finance (2009)Statistical Modeling of Spatial Extremes (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)A Guide to the Dagum Distributions (2008)
this work references cited by second hop

References

  • 1997Modelling Extremal Events4,397 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2004Statistics of Extremes1,204 cited
  • 2001An Academic Response to Basel II274 cited
  • 2006A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital269 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 2000Extremes and integrated risk management187 cited
  • 2006Operational Risk134 cited
  • 2001A Diagnostic for Selecting the Threshold in Extreme Value Analysis131 cited
  • 2001Heavy-Tailed Distributions and Rating86 cited
  • 2010Multivariate models for operational risk75 cited
  • 2007The quantification of operational risk using internal data, relevant external data and expert opinion68 cited
  • 2005Subadditivity Re-Examined: The Case for Value-At-Risk67 cited

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2010
Risk concentration and diversification: Second-order properties
51 cited
  • 2009Implementing loss distribution approach for operational risk41 cited
  • 2009A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS27 cited
  • 2011Operational Risk - Scenario Analysis27 cited