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Quantitative models for operational risk: Extremes, dependence and aggregation

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Cited by:

  1. Iñaki Aldasoro & Leonardo Gambacorta & Paolo Giudici & Thomas Leach, 2023. "Operational and Cyber Risks in the Financial Sector," International Journal of Central Banking, International Journal of Central Banking, vol. 19(5), pages 340-402, December.
  2. Di Lascio, F. Marta L. & Giammusso, Davide & Puccetti, Giovanni, 2018. "A clustering approach and a rule of thumb for risk aggregation," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 236-248.
  3. P. V. Shevchenko & M. V. Wuthrich, 2009. "The Structural Modelling of Operational Risk via Bayesian inference: Combining Loss Data with Expert Opinions," Papers 0904.1067, arXiv.org.
  4. Chernobai, Anna & Yildirim, Yildiray, 2008. "The dynamics of operational loss clustering," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2655-2666, December.
  5. Eckert, Christian & Gatzert, Nadine, 2017. "Modeling operational risk incorporating reputation risk: An integrated analysis for financial firms," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 122-137.
  6. Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
  7. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011. "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent) 070, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  8. Peters, Gareth W. & Byrnes, Aaron D. & Shevchenko, Pavel V., 2011. "Impact of insurance for operational risk: Is it worthwhile to insure or be insured for severe losses?," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 287-303, March.
  9. Stefan Strecker & David Heise & Ulrich Frank, 2011. "RiskM: A multi-perspective modeling method for IT risk assessment," Information Systems Frontiers, Springer, vol. 13(4), pages 595-611, September.
  10. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
  11. Ignatieva, Katja & Landsman, Zinoviy, 2019. "Conditional tail risk measures for the skewed generalised hyperbolic family," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 98-114.
  12. Griselda Dávila-Aragón & Salvador Rivas-Aceves & Francisco Ortiz-Arango, 2017. "Operational Risk Measured by Bayesian Networks with a Poisson-Gamma Joint Distribution in a Financial Firm," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(4), pages 351-363, Octubre-D.
  13. Tursunalieva, Ainura & Silvapulle, Param, 2016. "Nonparametric estimation of operational value-at-risk (OpVaR)," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 194-201.
  14. Pavel V. Shevchenko, 2010. "Implementing loss distribution approach for operational risk," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(3), pages 277-307, May.
  15. Dong-Young Lim, 2021. "A Neural Frequency-Severity Model and Its Application to Insurance Claims," Papers 2106.10770, arXiv.org, revised Feb 2024.
  16. Gareth W. Peters & Aaron D. Byrnes & Pavel V. Shevchenko, 2010. "Impact of Insurance for Operational Risk: Is it worthwhile to insure or be insured for severe losses?," Papers 1010.4406, arXiv.org, revised Nov 2010.
  17. Albrecht, Peter & Schwake, Edmund & Winter, Peter, 2007. "Quantifizierung operationeller Risiken: Der Loss Distribution Approach," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 3(1), pages 1-45.
  18. Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J., 2016. "On stability of operational risk estimates by LDA: From causes to approaches," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 266-278.
  19. Kley, Oliver & Klüppelberg, Claudia & Paterlini, Sandra, 2020. "Modelling extremal dependence for operational risk by a bipartite graph," Journal of Banking & Finance, Elsevier, vol. 117(C).
  20. Tong, Bin & Wu, Chongfeng & Xu, Weidong, 2012. "Risk concentration of aggregated dependent risks: The second-order properties," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 139-149.
  21. Michael C. Munnix & Rudi Schafer, 2011. "A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market," Papers 1102.1099, arXiv.org, revised Mar 2011.
  22. Giuricich, Mario Nicoló & Burnecki, Krzysztof, 2019. "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 498-513.
  23. Mark Bentley & Alec Stephenson & Peter Toscas & Zili Zhu, 2020. "A Multivariate Model to Quantify and Mitigate Cybersecurity Risk," Risks, MDPI, vol. 8(2), pages 1-21, June.
  24. Martel-Escobar, M. & Hernández-Bastida, A. & Vázquez-Polo, F.J., 2012. "On the independence between risk profiles in the compound collective risk actuarial model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(8), pages 1419-1431.
  25. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
  26. Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, vol. 80(C), pages 383-391.
  27. Ramírez-Cobo, Pepa & Carrizosa, Emilio & Lillo, Rosa E., 2021. "Analysis of an aggregate loss model in a Markov renewal regime," Applied Mathematics and Computation, Elsevier, vol. 396(C).
  28. Amin Karimu & Samuel Salia & Javed G. Hussain & Ishmael Tingbani, 2021. "Are competitive microfinance services worth regulating? Evidence from microfinance institutions in Sub‐Saharan Africa," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 476-492, January.
  29. Hans Buhlmann & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "A "Toy" Model for Operational Risk Quantification using Credibility Theory," Papers 0904.1772, arXiv.org.
  30. Ji, Jingru & Wang, Donghua & Xu, Dinghai & Xu, Chi, 2020. "Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 52-70.
  31. Robert Jarrow, 2017. "Operational Risk," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 8, pages 69-70, World Scientific Publishing Co. Pte. Ltd..
  32. Sinemis Zengin & Serhat Yuksel, 2016. "A Comparison of the Views of Internal Controllers/Auditors and Branch/Call Center Personnel of the Banks for Operational Risk: A Case for Turkish Banking Sector," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(4), pages 10-29, July.
  33. Chapelle, Ariane & Crama, Yves & Hübner, Georges & Peters, Jean-Philippe, 2008. "Practical methods for measuring and managing operational risk in the financial sector: A clinical study," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1049-1061, June.
  34. Udo Milkau & Jürgen Bott, 2018. "Active Management of Operational Risk in the Regimes of the “Unknown”: What Can Machine Learning or Heuristics Deliver?," Risks, MDPI, vol. 6(2), pages 1-16, April.
  35. Umberto Cherubini & Paolo Neri, 2017. "Value-at-Risk Diversification of $\alpha$-stable Risks: The Tail-Dependence Puzzle," Papers 1704.07235, arXiv.org.
  36. Habib Mahama & Chen Yu Ming, 2009. "Currency options trading practices and the construction and governance of operational risk," Accounting, Auditing & Accountability Journal, Emerald Group Publishing Limited, vol. 22(4), pages 626-660, May.
  37. repec:cte:idrepe:24017 is not listed on IDEAS
  38. Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  39. Gonzalo, J. & Olmo, J., 2007. "The impact of heavy tails and comovements in downside-risk diversification," Working Papers 07/02, Department of Economics, City University London.
  40. Ibragimov, Rustam & Prokhorov, Artem, 2016. "Heavy tails and copulas: Limits of diversification revisited," Economics Letters, Elsevier, vol. 149(C), pages 102-107.
  41. Peters, Gareth W. & Shevchenko, Pavel V. & Young, Mark & Yip, Wendy, 2011. "Analytic loss distributional approach models for operational risk from the α-stable doubly stochastic compound processes and implications for capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 565-579.
  42. Silvia Figini & Lijun Gao & Paolo Giudici, 2013. "Bayesian operational risk models," DEM Working Papers Series 047, University of Pavia, Department of Economics and Management.
  43. Balbás, Beatriz & Balbás, Raquel, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," IC3JM - Estudios = Working Papers id-16-01, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  44. Lu, Zhaoyang, 2011. "Modeling the yearly Value-at-Risk for operational risk in Chinese commercial banks," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(4), pages 604-616.
  45. Daniela MATEI & Mioara CHIRITA, 2012. "Analysis of Operational Risks in Shipbuilding Industry," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 121-130.
  46. Pavel V. Shevchenko & Gareth W. Peters, 2013. "Loss Distribution Approach for Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation," Papers 1306.1882, arXiv.org.
  47. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(1), pages 71-94, April.
  48. D Wu & D L Olson, 2010. "Enterprise risk management: coping with model risk in a large bank," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(2), pages 179-190, February.
  49. Ongena, Steven & Conlon, Thomas & Huan, Xing, 2020. "Operational Risk Capital," CEPR Discussion Papers 15096, C.E.P.R. Discussion Papers.
  50. Xu, Chi & Zheng, Chunling & Wang, Donghua & Ji, Jingru & Wang, Nuan, 2019. "Double correlation model for operational risk: Evidence from Chinese commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 327-339.
  51. Ming-Tao CHUNG & Ming-Hua HSIEH & Yan-Ping CHI, 2017. "Computation of Operational Risk for Financial Institutions," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 77-87, September.
  52. Robert Jarrow & Jeff Oxman & Yildiray Yildirim, 2010. "The cost of operational risk loss insurance," Review of Derivatives Research, Springer, vol. 13(3), pages 273-295, October.
  53. Tan, Yi Lin & Yusof, Mimi Syazwani & Mohd Ali, Nur Aqilah & Mohamed Azmi, Zahirah, 2018. "The Influence of Corporate Governance to the Firm Performance in Logistics Industry," MPRA Paper 86895, University Library of Munich, Germany.
  54. Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009. "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Papers 0904.2910, arXiv.org.
  55. repec:cte:idrepe:id-16-01 is not listed on IDEAS
  56. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
  57. Münnix, Michael C. & Schäfer, Rudi, 2011. "A copula approach on the dynamics of statistical dependencies in the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4251-4259.
  58. Pavel V. Shevchenko, 2009. "Implementing Loss Distribution Approach for Operational Risk," Papers 0904.1805, arXiv.org, revised Jul 2009.
  59. Dionne, Georges & Saissi-Hassani, Samir, 2016. "Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Working Papers 15-3, HEC Montreal, Canada Research Chair in Risk Management.
  60. Andrea M. Buffa & Suleyman Basak, 2016. "A Theory of Operational Risk," 2016 Meeting Papers 352, Society for Economic Dynamics.
  61. Ainura Tursunalieva & Param Silvapulle, 2013. "Non-parametric Estimation of Operational Risk and Expected Shortfall," Monash Econometrics and Business Statistics Working Papers 23/13, Monash University, Department of Econometrics and Business Statistics.
  62. Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014. "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 271-285.
  63. Elshahat, A. & Parhizgari, Ali & Hong, Liang, 2012. "The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions," Journal of Economics and Business, Elsevier, vol. 64(1), pages 90-104.
  64. Pavel V. Shevchenko & Grigory Temnov, 2009. "Modeling operational risk data reported above a time-varying threshold," Papers 0904.4075, arXiv.org, revised Jul 2009.
  65. Cheng, Maoyong & Qu, Yang & Jiang, Chunxia & Zhao, Chenchen, 2022. "Is cloud computing the digital solution to the future of banking?," Journal of Financial Stability, Elsevier, vol. 63(C).
  66. Alejandro Balbás & Iván Blanco & José Garrido, 2014. "Measuring Risk When Expected Losses Are Unbounded," Risks, MDPI, vol. 2(4), pages 1-14, September.
  67. Uddin, Md Hamid & Mollah, Sabur & Islam, Nazrul & Ali, Md Hakim, 2023. "Does digital transformation matter for operational risk exposure?," Technological Forecasting and Social Change, Elsevier, vol. 197(C).
  68. Paul Embrechts & Giovanni Puccetti, 2006. "Aggregating risk capital, with an application to operational risk," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 31(2), pages 71-90, December.
  69. Nataliya Horbenko & Peter Ruckdeschel & Taehan Bae, 2010. "Robust Estimation of Operational Risk," Papers 1012.0249, arXiv.org, revised Mar 2011.
  70. Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
  71. Balbás, Beatriz & Balbás, Raquel, 2017. "Differential equations connecting VaR and CVaR," IC3JM - Estudios = Working Papers 24017, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  72. Alias, Amanina, 2019. "“Effect OF ROA towards Internal Factors and External Factors for MMC Corporation Berhad"," MPRA Paper 97163, University Library of Munich, Germany, revised 15 Oct 2019.
  73. Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Dynamic operational risk: modeling dependence and combining different sources of information," Papers 0904.4074, arXiv.org, revised Jul 2009.
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