CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory

DOI10.1016/J.MCM.2012.07.013MaRDI QIDQ462734zbMATH OpenOpenAlexFDO

Authors Hongmei Wen, Jiaqi Luan, Fengge Yao

Publication date 21 October 2014

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2012.07.013

zbMATH Keywords

CVaR measurement modeloperational riskspeak value method of extreme value theory

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Credit risk (91G40)

Recommendations

• scientific article; zbMATH DE number 6006824
• Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
• scientific article; zbMATH DE number 5845914
• Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
• Managing Operational Risk: Methodology and Prospects

Cites work

• High volatility, thick tails and extreme value theory in value-at-risk estimation.

Cited in

(6)

• scientific article; zbMATH DE number 7234436 (Why is no real title available?)
• Modeling the yearly value-at-risk for operational risk in Chinese commercial banks
• Evaluation of strategic risks of credit processes in the banking system of Iran
• A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS
• The cost of operational risk loss insurance
• Impact of ESG rating on portfolio diversification benefits among US Fintech stocks and cryptocurrencies

This page was built for publication: CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q462734)