Practices and issues in operational risk modeling under Basel II

DOI10.1007/S10986-011-9118-4zbMATH Open1227.91037OpenAlexW2062834366MaRDI QIDQ647154FDOQ647154

Authors: Paul Embrechts, Marius Hofert 

Publication date: 1 December 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/37596

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zbMATH Keywords

Basel IIoperational risk modelingpractices and issues

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Financial applications of other theories (91G80)

Cites Work

• Title not available (Why is that?)
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Ruin problem and how fast stochastic processes mix

Cited In (7)

• Basel II -- achievements and challenges
• Information Security and Privacy
• Numerical modelling of operational risks for the banking industry
• Operational Risk Modelling in Financial Services
• How to model operational risk if you must
• The application of the loss distributed approach to the quantification of operational risk
• Verification of internal risk measure estimates

Uses Software

• QRM

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