Robust quantification of the exposure to operational risk: bringing economic sense to economic capital

DOI10.1016/j.cor.2010.10.001zbMath1251.91037OpenAlexW138391645MaRDI QIDQ1762046

Alberto Suárez, Santiago Carrillo-Menéndez

Publication date: 15 November 2012

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2010.10.001

zbMATH Keywords

stabilityrobustnesssimulationrisk measuresoperational risk

Mathematics Subject Classification ID

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Cites Work

• Modelling operational risk losses with graphical models and copula functions
• Numerical maximum likelihood estimation for the \(g\)-and-\(k\) and generalized \(g\)-and-\(h\) distributions
• The jackknife and the bootstrap for general stationary observations
• Coherent Measures of Risk
• The Stationary Bootstrap
• A Brief History of Generative Models for Power Law and Lognormal Distributions
• Operational Risk
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
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