Scenario Analysis Approach for Operational Risk in Insurance Companies
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- Nadine Gatzert & Andreas Kolb, 2014. "Risk Measurement and Management of Operational Risk in Insurance Companies from an Enterprise Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 81(3), pages 683-708, September.
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- Dutta, Kabir K. & Babbel, David F., 2010. "Scenario Analysis in the Measurement of Operational Risk Capital: A Change of Measure Approach," Working Papers 10-10, University of Pennsylvania, Wharton School, Weiss Center.
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- Pavel V. Shevchenko & Gareth W. Peters, 2013. "Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation," Papers 1306.1882, arXiv.org.
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More about this item
Keywords
operational risk; insurance; scenario analysis; distribution; sensitivity;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
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