Modeling operational risk: estimation and effects of dependencies

DOI10.1007/978-3-7908-2604-3_55MaRDI QIDQ3298512zbMATH OpenOpenAlexFDO

Authors Sandra Paterlini, Tina Yener, Stefan Mittnik

Publication date 14 July 2020

Published in Proceedings of COMPSTAT'2010 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2604-3_55

zbMATH Keywords

correlationoperational riskrisk capitaltail dependencevalue-at-risk

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• Bivariate extreme statistics. I
• Coherent measures of risk
• Dependence measures for extreme value analyses
• Estimating the tail-dependence coefficient: properties and pitfalls
• scientific article; zbMATH DE number 3752025 (Why is no real title available?)
• scientific article; zbMATH DE number 409721 (Why is no real title available?)
• Operational Risk

Cited in

(15)

• Operational risk aggregation based on business line dependence: a mutual information approach
• Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
• Measuring operational risk using a mean scaled individual risk model
• Multivariate models for operational risk
• Quantitative Operational Risk Models
• scientific article; zbMATH DE number 6006824 (Why is no real title available?)
• scientific article; zbMATH DE number 5314526 (Why is no real title available?)
• Dependence models arising from the Lagrangian probability distributions
• Modelling operational risk losses with graphical models and copula functions
• Bayesian copulae distributions, with application to operational risk management
• USING WEIGHTED DISTRIBUTIONS TO MODEL OPERATIONAL RISK
• Operational Risk Modelling in Financial Services
• Operational Risk
• Connectivity and the measurement of operational risk: an input-output approach
• Empirically assessing and modeling spillover effects from operational risk events in the insurance industry

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