Quantification of operational risk: a scenario-based approach
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Recommendations
- The application of the loss distributed approach to the quantification of operational risk
- Operational risk modelling and management.
- A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS
- Operational Risk Modelling in Financial Services
- How to model operational risk if you must
Cites work
- Aggregation of expert opinions
- Assessing high-risk scenarios by full-range tail dependence copulas
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- Copula Models for Aggregating Expert Opinions
- CreditRisk\(^+\) model with dependent risk factors
- Evolutionary Multi-Criterion Optimization
- Financial enterprise risk management
- Loss Models
- Modelling operational risk using Bayesian inference.
- Multivariate extreme value theory and its usefulness in understanding risk
- Operational risk modelling and management.
Cited in
(7)- Operations risk management by optimally planning the qualified workforce capacity
- Measuring operational risk using a mean scaled individual risk model
- Quantitative Operational Risk Models
- scientific article; zbMATH DE number 5314526 (Why is no real title available?)
- Managing Operational Risk: Methodology and Prospects
- Operational Risk Modelling in Financial Services
- Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test
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