The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

DOI10.2143/AST.37.2.2024067zbMath1154.62077OpenAlexW4233449774MaRDI QIDQ5505900

Matthias Degen, Dominik D. Lambrigger, Paul Embrechts

Publication date: 28 January 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024067

zbMATH Keywords

extreme value theoryvalue-at-risksubadditivityHill estimatorLDAoperational riskpeaks over thresholdsecond order regular variation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (30)

A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS ⋮ USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK ⋮ Efficient maximum approximated likelihood inference for Tukey's \(g\)-and-\(h\) distribution ⋮ Multivariate time-varying \(G\)-\(H\) copula GARCH model and its application in the financial market risk measurement ⋮ Parameter estimation of Tukey-type distributions: A comparative analysis ⋮ Testing a parameter restriction on the boundary for the g-and-h distribution: a simulated approach ⋮ THEORETICAL SENSITIVITY ANALYSIS FOR QUANTITATIVE OPERATIONAL RISK MANAGEMENT ⋮ Risk concentration of aggregated dependent risks: the second-order properties ⋮ Modeling the yearly value-at-risk for operational risk in Chinese commercial banks ⋮ Practices and issues in operational risk modeling under Basel II ⋮ Second-order expansions of the risk concentration based on CTE ⋮ EVT-based estimation of risk capital and convergence of high quantiles ⋮ Second-order asymptotics of the risk concentration of a portfolio with deflated risks ⋮ Risk concentration and diversification: second-order properties ⋮ Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method ⋮ Bounded Relative Error Importance Sampling and Rare Event Simulation ⋮ Robust quantification of the exposure to operational risk: bringing economic sense to economic capital ⋮ Revisiting the Edge, Ten Years On ⋮ Penalized likelihood estimators for truncated data ⋮ Subadditivity of value-at-risk for Bernoulli random variables ⋮ A discussion on mean excess plots ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ THE FULL TAILS GAMMA DISTRIBUTION APPLIED TO MODEL EXTREME VALUES ⋮ Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness ⋮ A simple approach to the estimation of Tukey's gh distribution ⋮ Conditional Tail Moments of the Exponential Family and Its Related Distributions ⋮ Implementing loss distribution approach for operational risk ⋮ A nonparametric operational risk modeling approach based on Cornish-Fisher expansion ⋮ The truncated g-and-h distribution: estimation and application to loss modeling ⋮ Estimating large losses in insurance analytics and operational risk using the g-and-h distribution

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• A course in credibility theory and its applications
• A Diagnostic for Selecting the Threshold in Extreme Value Analysis
• The Inverse of the Cumulative Standard Normal Probability Function
• Statistics of Extremes
• Operational Risk

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