Quantitative models for operational risk: extremes, dependence and aggregation
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State: Deleted
Version: Final published version
Serval ID
serval:BIB_DB79F0E8C175
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Quantitative models for operational risk: extremes, dependence and aggregation
Journal
Journal of Banking and Finance
ISSN
0378-4266
Publication state
Published
Issued date
10/2006
Peer-reviewed
Oui
Volume
30
Number
10
Pages
2635-2658
Language
english
Abstract
Due to the new regulatory guidelines known as Basel II for banking and Solvency 2 for insurance, the financial industry is looking for qualitative approaches to and quantitative models for operational risk. Whereas a full quantitative approach may never be achieved, in this paper we present some techniques from probability and statistics which no doubt will prove useful in any quantitative modelling environment. The techniques discussed are advanced peaks over threshold modelling, the construction of dependent loss processes and the establishment of bounds for risk measures under partial information, and can be applied to other areas of quantitative risk management.
Keywords
Copula, Dependence, Fre´chet class problems, Generalized Pareto distribution, Mass transportation, Operational risk, Peaks over threshold, Point process, Risk aggregation, Statistics of extremes
Web of science
Publisher's website
Create date
23/08/2011 8:01
Last modification date
20/08/2019 16:00