Practices and issues in operational risk modeling under Basel II

DOI10.1007/S10986-011-9118-4zbMath1227.91037OpenAlexW2062834366MaRDI QIDQ647154

Paul Embrechts, Marius Hofert

Publication date: 1 December 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/37596

zbMATH Keywords

Basel IIoperational risk modelingpractices and issues

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (1)

Verification of internal risk measure estimates

Uses Software

• QRM

Cites Work

• Unnamed Item
• Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
• Ruin problem and how fast stochastic processes mix
• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

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