Modelling operational risk losses with graphical models and copula functions

DOI10.1007/S11009-008-9083-5zbMath1293.90078OpenAlexW1989164152MaRDI QIDQ398811

Paolo Giudici, Danae Politou

Publication date: 15 August 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9083-5

zbMATH Keywords

Bayesian networkscopula functionsoperational riskBasel IIVaR

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Credit risk (91G40)

Related Items (1)

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

Cites Work

• Unnamed Item
• An introduction to copulas. Properties and applications
• Hyper Markov laws in the statistical analysis of decomposable graphical models
• Coherent Measures of Risk
• COMPARATIVE ANALYSES OF EXPECTED SHORTFALL AND VALUE-AT-RISK(Special Issue on Theory, Methodology and Applications in Financial Engneering)

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