A modified Panjer algorithm for operational risk capital calculations
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References listed on IDEAS
- Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
- Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- Bertrand K. Hassani & Wei Yang, 2016. "The Lila distribution and its applications in risk modelling," Documents de travail du Centre d'Economie de la Sorbonne 16068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Bertrand Hassani, 2015. "Risk or Regulatory Capital? Bringing distributions back in the foreground," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169268, HAL.
- Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Post-Print halshs-01020293, HAL.
- Chih-Kang Chu & Ruey-Ching Hwang, 2019. "Predicting Loss Distributions for Small-Size Defaulted-Debt Portfolios Using a Convolution Technique that Allows Probability Masses to Occur at Boundary Points," Journal of Financial Services Research, Springer;Western Finance Association, vol. 56(1), pages 95-117, August.
- Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Post-Print halshs-00587706, HAL.
- Vasileios M. Koutras & Markos V. Koutras, 2020. "Exact Distribution of Random Order Statistics and Applications in Risk Management," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1539-1558, December.
- Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
- Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," Post-Print halshs-00721339, HAL.
- Dominique Guegan & Bertrand Hassani, 2012. "Operational risk : A Basel II++ step before Basel III," PSE-Ecole d'économie de Paris (Postprint) halshs-00722029, HAL.
- Dominique Guegan & Bertrand Hassani, 2011. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Documents de travail du Centre d'Economie de la Sorbonne 11017rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
- Dominique Gu�gan & Bertrand Hassani, 2015. "Risk or Regulatory Capital? Bringing distributions back in the foreground," Working Papers 2015:18, Department of Economics, University of Venice "Ca' Foscari".
- Dominique Guegan & Bertrand K Hassani, 2015. "Risk or Regulatory Capital? Bringing distributions back in the foreground," Documents de travail du Centre d'Economie de la Sorbonne 15046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Wayne Tarrant, 2012. "On the Necessity of Five Risk Measures," PSE-Ecole d'économie de Paris (Postprint) halshs-00721339, HAL.
- Vasileios M. Koutras & Markos V. Koutras & Spiros D. Dafnis, 2022. "A Family of Induced Distributions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1833-1848, September.
- Dominique Guegan & Bertrand Hassani, 2012. "Operational risk : A Basel II++ step before Basel III," Post-Print halshs-00722029, HAL.
- Dominique Guegan & Bertrand Hassani, 2015. "Risk or Regulatory Capital? Bringing distributions back in the foreground," Post-Print halshs-01169268, HAL.
- Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Post-Print halshs-00951593, HAL.
- Bertrand K. Hassani & Wei Yang, 2016. "The Lila distribution and its applications in risk modelling," Post-Print halshs-01400186, HAL.
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Keywords
convolution; Operational risk; Panjer algorithm; Kernel; numerical integration; convolution.;All these keywords.
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