Operational Risk: The Sting is Still in the Tail But the Poison Dependson the Dose
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- Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2007.
"Implications of Alternative Operational Risk Modeling Techniques,"
NBER Chapters, in: The Risks of Financial Institutions, pages 475-505,
National Bureau of Economic Research, Inc.
- Patrick de Fontnouvelle & John S. Jordan & Eric Rosengren, 2004. "Implications of alternative operational risk modeling techniques," Working Papers 04-9, Federal Reserve Bank of Boston.
- Patrick de Fontnouvelle & John Jordan & Eric Rosengren, 2005. "Implications of Alternative Operational Risk Modeling Techniques," NBER Working Papers 11103, National Bureau of Economic Research, Inc.
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Keywords
WP; gross income; estimation method; probability function; descriptive statistics; operational risk; risk management; financial regulation; Basel Committee; Basel II; New Basel Capital Accord; extreme value theory; generalized extreme value (GEV) distribution; extreme value theory (EVT); generalized Pareto distribution (GPD); peak-over-threshold (POT) method; g-and-h distribution; fat tail behavior; extreme tail behavior; Value-at-Risk (VaR); Advanced Measurement Approaches (AMA); risk measurement; percentile level; threshold quantile; risk estimate; surface estimation; threshold-quantile surface; MLE estimation algorithm; estimation risk; Estimation techniques; Capital adequacy requirements; Basel Core Principles; Personal income; Global;All these keywords.
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