Operational risk modelling and management.

DOI10.1201/B10148MaRDI QIDQ3060318zbMATH OpenOpenAlexFDO

Authors Claudio Franzetti

Publication date 2 December 2010

Full work available at URL https://doi.org/10.1201/b10148

zbMATH Keywords

Basel IIcredit riskoperational riskstochastic modelling

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Credit risk (91G40)

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Cited in

(26)

• Quantitative modeling of operational risk in finance and banking using possibility theory
• A naive uncertainty model for measuring operational risks faced by financial institutions
• Functional correlation approach to operational risk in banking organizations
• Risk modelling and management: an overview
• Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
• A nonparametric operational risk modeling approach based on Cornish-Fisher expansion
• Optimal exercise strategies for operational risk insurance via multiple stopping times
• Bank management and control. Strategy, capital and risk management
• Quantitative Operational Risk Models
• Implementing loss distribution approach for operational risk
• Modelling operational risk using Bayesian inference.
• A note on the estimation of the frequency and severity distribution of operational losses
• scientific article; zbMATH DE number 5314526 (Why is no real title available?)
• Managing Operational Risk: Methodology and Prospects
• Operational Risk Modelling in Financial Services
• Operational risk quantified with spectral risk measures: a refined closed-form approximation
• Banking systems simulation. Theory, practice, and application of modeling shocks, losses, and contagion
• Information Security and Privacy
• Quantification of operational risk: a scenario-based approach
• How to model operational risk if you must
• The cost of operational risk loss insurance
• Modelling of a loss distribution ansatz in the frame of the advanced measurement approach for optional risk under Basel II.
• Operational Risk
• Numerical modelling of operational risks for the banking industry
• Practices and issues in operational risk modeling under Basel II
• Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation

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