Quantitative Operational Risk Models

DOI10.1201/B11602MaRDI QIDQ3101811zbMATH OpenOpenAlexFDO

Authors Catalina Bolancé, Montserrat Guillen, Jim Gustafsson, Jens Perch Nielsen

Publication date 30 November 2011

Full work available at URL https://doi.org/10.1201/b11602

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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Cited in

(15)

• Quantifying the risk using copulae with nonparametric marginals
• A nonparametric operational risk modeling approach based on Cornish-Fisher expansion
• Simple risk measure calculations for sums of positive random variables
• A nonparametric approach to calculating value-at-risk
• A Bayesian approach to estimate the marginal loss distributions in operational risk management
• Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
• scientific article; zbMATH DE number 5314526 (Why is no real title available?)
• Analysis of an aggregate loss model in a Markov renewal regime
• A threshold based approach to merge data in financial risk management
• Operational Risk
• Optimal bandwidth selection for recursive Gumbel kernel density estimators
• Reducing variance and improving bandwidth selection in density estimation via semiparametric transformations and local linear smoothing
• pTAS distributions with application to risk management
• Operational Risk Modelling in Financial Services
• Tail density estimation for exploratory data analysis using kernel methods

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