Bootstrap Algorithms for Risk Models with Auxiliary Variable and Complex Samples
Author
Abstract
Suggested Citation
DOI: 10.1007/s11009-008-9072-8
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- de Fontnouvelle, Patrick & Dejesus-Rueff, Virginia & Jordan, John S. & Rosengren, Eric S., 2006.
"Capital and Risk: New Evidence on Implications of Large Operational Losses,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(7), pages 1819-1846, October.
- Patrick de Fontnouvelle & Virginia DeJesus-Rueff & John S. Jordan & Eric Rosengren, 2003. "Capital and risk: new evidence on implications of large operational losses," Working Papers 03-5, Federal Reserve Bank of Boston.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2008.
"Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration,"
Journal of Finance, American Finance Association, vol. 63(6), pages 2785-2815, December.
- Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz, 2006. "Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration," Yale School of Management Working Papers amz2472, Yale School of Management, revised 11 Sep 2009.
- Ingo Walter, 2006. "Reputational Risk and Conflicts of Interest in Banking and Finance: The Evidence So Far," Working Papers 06-27, New York University, Leonard N. Stern School of Business, Department of Economics.
- Azamat Abdymomunov & Atanas Mihov, 2019. "Operational Risk and Risk Management Quality: Evidence from U.S. Bank Holding Companies," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(1), pages 73-93, August.
- Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
- Clark, Brian & Ebrahim, Alireza, 2022. "Risk shifting and regulatory arbitrage: Evidence from operational risk," Journal of Financial Stability, Elsevier, vol. 58(C).
- Wafa Tariq Waqar & Yan Ma, 2024. "Acquirers’ corporate governance ratings and the likelihood of deal completion: Do stakeholders care about the agency hazards of European cross-border acquirers?," Review of Managerial Science, Springer, vol. 18(10), pages 2815-2848, October.
- S�verine Plunus & Georges Hübner & Jean-Philippe Peters, 2012. "Measuring operational risk in financial institutions," Applied Financial Economics, Taylor & Francis Journals, vol. 22(18), pages 1553-1569, September.
- narjess BOUABDALLAH & jamel Eddine HENCHIRI, 2020. "L' impact des mécanismes de gouvernance interne sur le risque opérationnel bancaire," Journal of Academic Finance, RED research unit, university of Gabes, Tunisia, vol. 11(1), pages 151-189, June.
- Filippo Curti & W. Scott Frame & Atanas Mihov, 2022.
"Are the Largest Banking Organizations Operationally More Risky?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1223-1259, August.
- Filippo Curti & W. Scott Frame & Atanas Mihov, 2020. "Are the Largest Banking Organizations Operationally More Risky?," Working Papers 2016, Federal Reserve Bank of Dallas.
- Mizgier, Kamil J. & Hora, Manpreet & Wagner, Stephan M. & Jüttner, Matthias P., 2015. "Managing operational disruptions through capital adequacy and process improvement," European Journal of Operational Research, Elsevier, vol. 245(1), pages 320-332.
- Berger, Allen N. & Curti, Filippo & Mihov, Atanas & Sedunov, John, 2022. "Operational Risk is More Systemic than You Think: Evidence from U.S. Bank Holding Companies," Journal of Banking & Finance, Elsevier, vol. 143(C).
- 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.
- W. Scott Frame & Ping McLemore & Atanas Mihov, 2020. "Haste Makes Waste: Banking Organization Growth and Operational Risk," Working Papers 2023, Federal Reserve Bank of Dallas.
- Allen, Linda & Bali, Turan G., 2007. "Cyclicality in catastrophic and operational risk measurements," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1191-1235, April.
- Thomas Conlon & Xing Huan & Steven Ongena, 2020.
"Operational Risk Capital,"
Swiss Finance Institute Research Paper Series
20-55, Swiss Finance Institute.
- Ongena, Steven & Conlon, Thomas & Huan, Xing, 2020. "Operational Risk Capital," CEPR Discussion Papers 15096, C.E.P.R. Discussion Papers.
- Martin Eling & Kwangmin Jung, 2022. "Heterogeneity in cyber loss severity and its impact on cyber risk measurement," Risk Management, Palgrave Macmillan, vol. 24(4), pages 273-297, December.
- Andrea M. Buffa & Suleyman Basak, 2016. "A Theory of Operational Risk," 2016 Meeting Papers 352, Society for Economic Dynamics.
- Azamat Abdymomunov & Filippo Curti & Atanas Mihov, 2020. "U.S. Banking Sector Operational Losses and the Macroeconomic Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(1), pages 115-144, February.
- Chernobai, Anna & Ozdagli, Ali & Wang, Jianlin, 2021.
"Business complexity and risk management: Evidence from operational risk events in U.S. bank holding companies,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 418-440.
- Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2016. "Business complexity and risk management: evidence from operational risk events in U. S. bank holding companies," Working Papers 16-16, Federal Reserve Bank of Boston.
- Anna Chernobai & Ali Ozdagli & Jianlin Wang, 2018. "Business Complexity and Risk Management: Evidence from Operational Risk Events in U.S. Bank Holding Companies," 2018 Meeting Papers 1146, Society for Economic Dynamics.
- Frame, W. Scott & Lazaryan, Nika & McLemore, Ping & Mihov, Atanas, 2024. "Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector," Journal of Banking & Finance, Elsevier, vol. 165(C).
More about this item
Keywords
Probability-proportional-to-size sampling; Ratio model; Ratio estimator; Regression estimator; Resampling methods;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
- C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:metcap:v:11:y:2009:i:1:d:10.1007_s11009-008-9072-8. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.