Operational Risk - Scenario Analysis
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Abstract
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DOI: 10.18267/j.pep.385
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Other versions of this item:
- Milan Rippel & Petr Teply, 2008. "Operational Risk - Scenario Analysis," Working Papers IES 2008/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2008.
References listed on IDEAS
- Radovan Chalupka & Petr Teply, 2008. "Operational Risk Management and Implications for Bank’s Economic Capital – a Case Study," Working Papers IES 2008/17, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2008.
Citations
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Cited by:
- Häger, David & Andersen, Lasse B., 2010. "A knowledge based approach to loss severity assessment in financial institutions using Bayesian networks and loss determinants," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1635-1644, December.
- Tomáš Klinger & Petr Teplý, 2014. "Systemic Risk of the Global Banking System - An Agent-Based Network Model Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(1), pages 24-41.
- Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
- Petr Teply & Libena Cernohorska & Jan Cernohorsky, 2010. "Key Economic Policy Lessons From The 2008 Financial Crisis," Anadolu University Journal of Social Sciences, Anadolu University, vol. 10(2), pages 123-134, May.
- Barbora Šútorová & Petr Teplý, 2014. "The Level of Capital and the Value of EU Banks under Basel III," Prague Economic Papers, Prague University of Economics and Business, vol. 2014(2), pages 143-161.
- Daniel Stavárek & Iveta Řepková, 2012. "Efficiency in the Czech banking industry: A non-parametric approach," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 60(2), pages 357-366.
- Milan Rippel & Lucie Suchánková & Petr Teplý, 2012. "Pojištění jako nástroj řízení operačního rizika - případová studie [The Role of Insurance in Operational Risk Mitigation - A Case Study]," Politická ekonomie, Prague University of Economics and Business, vol. 2012(4), pages 523-535.
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More about this item
Keywords
stress testing; operational risk; scenario analysis; economic capital; loss distribution approach; extreme value theory;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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