Using a time series approach to correct serial correlation in operational risk capital calculation
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- Dominique Guegan & Bertrand K. Hassani, 2012. "Using a time series approach to correct serial correlation in Operational Risk capital calculation," Documents de travail du Centre d'Economie de la Sorbonne 12091r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised May 2013.
References listed on IDEAS
- Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
- Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
- repec:hal:wpaper:halshs-00722029 is not listed on IDEAS
- 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.
- Dominique Guegan & Bertrand Hassani & Cédric Naud, 2011. "An efficient threshold choice for operational risk capital computation," Post-Print halshs-00790217, HAL.
- Bertrand Hassani & Alexis Renaudin, 2013. "The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00795046, HAL.
- Bertrand Hassani & Alexis Renaudin, 2013. "The Cascade Bayesian Approach for a controlled integration of internal data, external data and scenarios," Post-Print halshs-00795046, HAL.
- repec:cup:jfinqa:v:46:y:2011:i:06:p:1683-1725_00 is not listed on IDEAS
- repec:mse:cesdoc:13009 is not listed on IDEAS
- Dominique Guegan & Bertrand Hassani, 2011. "Operational risk: A Basel II++ step before Basel III," Post-Print halshs-00639484, HAL.
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More about this item
Keywords
Operational risk; time series; Gegenbauer processes; Monte Carlo; risk measures; Risque opérationnel; séries chronologiques; Gegenbauer processus; mesure du risque;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2013-01-19 (Econometric Time Series)
- NEP-RMG-2013-01-19 (Risk Management)
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