The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
- 1 January 2004
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
Abstract
No abstract availableKeywords
This publication has 98 references indexed in Scilit:
- THE VALUE RELEVANCE OF THE FINANCIAL STATEMENTS’ BOTTOM LINES IN THE EMERGING EGYPTIAN CAPITAL MARKETStudies in Business and Economics, 2015
- Implications of Alternative Operational Risk Modeling TechniquesPublished by National Bureau of Economic Research ,2005
- Smooth Extremal Models in Finance and InsuranceJournal of Risk and Insurance, 2004
- Using Loss Data to Quantify Operational RiskSSRN Electronic Journal, 2003
- Using a Bootstrap Method to Choose the Sample Fraction in Tail Index EstimationJournal of Multivariate Analysis, 2001
- Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk ManagementPublished by Springer Science and Business Media LLC ,1998
- Tail index and quantile estimation with very high frequency dataJournal of Empirical Finance, 1997
- Models for Exceedances Over High ThresholdsJournal of the Royal Statistical Society Series B: Statistical Methodology, 1990
- Modelling Excesses over High Thresholds, with an ApplicationPublished by Springer Science and Business Media LLC ,1984
- Residual Life Time at Great AgeThe Annals of Probability, 1974