메뉴 건너뛰기




Volumn 32, Issue 5, 2008, Pages 870-879

Operational risk

Author keywords

Agency costs; Basel II; Net present value; Operational risk

Indexed keywords


EID: 41849107225     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.06.006     Document Type: Article
Times cited : (81)

References (31)
  • 1
    • 41849084382 scopus 로고    scopus 로고
    • Aue, F., Kalkbrener, M., 2006. LDA at work. Working paper, Deutsche Bank AG, Frankfurt, Germany.
    • Aue, F., Kalkbrener, M., 2006. LDA at work. Working paper, Deutsche Bank AG, Frankfurt, Germany.
  • 2
    • 41849111894 scopus 로고    scopus 로고
    • Basel Committee on Banking Supervision, November 2005. International convergence of capital measurement and capital standards: A revised framework. Bank for International Settlements, Press and Communications, Basel, Switzerland.
    • Basel Committee on Banking Supervision, November 2005. International convergence of capital measurement and capital standards: A revised framework. Bank for International Settlements, Press and Communications, Basel, Switzerland.
  • 3
    • 41849132718 scopus 로고    scopus 로고
    • Berndt, A., Douglas, R., Duffie, D., Ferguson, M., Schranz, D., 2005. Measuring default risk premia from default swap rates and EDFs. Working paper, Carnegie Mellon University.
    • Berndt, A., Douglas, R., Duffie, D., Ferguson, M., Schranz, D., 2005. Measuring default risk premia from default swap rates and EDFs. Working paper, Carnegie Mellon University.
  • 8
    • 33747340265 scopus 로고    scopus 로고
    • Quantitative models for operational risk: Extremes, dependence and aggregation
    • Chavez-Demoulin V., Embrechts Pl., and Neslehova J. Quantitative models for operational risk: Extremes, dependence and aggregation. Journal of Banking and Finance 30 (2006) 2635-2658
    • (2006) Journal of Banking and Finance , vol.30 , pp. 2635-2658
    • Chavez-Demoulin, V.1    Embrechts, Pl.2    Neslehova, J.3
  • 9
    • 41849110454 scopus 로고    scopus 로고
    • Op risk modelling for extremes
    • Coleman R. Op risk modelling for extremes. Operational Risk January (2003) 6-9
    • (2003) Operational Risk , Issue.January , pp. 6-9
    • Coleman, R.1
  • 10
    • 41849107427 scopus 로고    scopus 로고
    • de Fontnouvelle, P., Rosengren, E., Jordan, J., 2004. Implications of alternative operational risk modelling techniques. Working paper, Federal Reserve Bank of Boston.
    • de Fontnouvelle, P., Rosengren, E., Jordan, J., 2004. Implications of alternative operational risk modelling techniques. Working paper, Federal Reserve Bank of Boston.
  • 11
    • 41849122564 scopus 로고    scopus 로고
    • de Fontnouvelle, P., Jordan, J., DeJesus-Ureff, V., Rosengren, E., 2005. Capital and risk: New evidence on implications of large operational losses. Working paper, Federal Reserve Bank of Boston.
    • de Fontnouvelle, P., Jordan, J., DeJesus-Ureff, V., Rosengren, E., 2005. Capital and risk: New evidence on implications of large operational losses. Working paper, Federal Reserve Bank of Boston.
  • 12
    • 12344307626 scopus 로고    scopus 로고
    • Is default event risk priced in corporate bonds?
    • Driessen J. Is default event risk priced in corporate bonds?. Review of Financial Studies 18 1 (2005) 165-195
    • (2005) Review of Financial Studies , vol.18 , Issue.1 , pp. 165-195
    • Driessen, J.1
  • 13
    • 41849089975 scopus 로고    scopus 로고
    • Dutta, K., Perry, J., 2006. A tale of Tails: An empirical analysis of loss distribution models for estimating operational risk capital. Working paper no. 06-13, Federal Reserve Bank of Boston.
    • Dutta, K., Perry, J., 2006. A tale of Tails: An empirical analysis of loss distribution models for estimating operational risk capital. Working paper no. 06-13, Federal Reserve Bank of Boston.
  • 14
    • 41849121778 scopus 로고    scopus 로고
    • Ebnother, S., Vanini, P., McNeil, A., Antolinez-Fehr, P., 2001. Modelling operational risk. Working paper, ETH Zurich.
    • Ebnother, S., Vanini, P., McNeil, A., Antolinez-Fehr, P., 2001. Modelling operational risk. Working paper, ETH Zurich.
  • 15
    • 41849085792 scopus 로고    scopus 로고
    • El-Gamal, M., Inanoglu, H., Stengel, M., 2006. Multivariate estimation for operational risk with judicious use of extreme value theory. Working paper, Office of the Comptroller of the Currency.
    • El-Gamal, M., Inanoglu, H., Stengel, M., 2006. Multivariate estimation for operational risk with judicious use of extreme value theory. Working paper, Office of the Comptroller of the Currency.
  • 16
    • 41849091753 scopus 로고    scopus 로고
    • Embrechts, P., Puccetti, G., forthcoming. Aggregating risk capital with an application to operational risk, The Geneva Risk and Insurance Review, forthcoming.
    • Embrechts, P., Puccetti, G., forthcoming. Aggregating risk capital with an application to operational risk, The Geneva Risk and Insurance Review, forthcoming.
  • 19
    • 41849115856 scopus 로고    scopus 로고
    • Jang, J., 2004. The Laplace transform of the distribution of the cox process with shot noise intensity and its application to reinsurance and operational risk. Working paper, University of New South Wales.
    • Jang, J., 2004. The Laplace transform of the distribution of the cox process with shot noise intensity and its application to reinsurance and operational risk. Working paper, University of New South Wales.
  • 20
    • 84970978046 scopus 로고    scopus 로고
    • An empirical analysis of the Jarrow van Deventer model for valuing non-maturity demand deposits
    • Janosi T., Jarrow R., and Zullo F. An empirical analysis of the Jarrow van Deventer model for valuing non-maturity demand deposits. The Journal of Derivatives Fall (1999) 8-31
    • (1999) The Journal of Derivatives , Issue.Fall , pp. 8-31
    • Janosi, T.1    Jarrow, R.2    Zullo, F.3
  • 21
    • 33747045112 scopus 로고    scopus 로고
    • Bankruptcy prediction with industry effects
    • Jarrow R., and Chava S. Bankruptcy prediction with industry effects. Review of Finance 8 4 (2004) 537-569
    • (2004) Review of Finance , vol.8 , Issue.4 , pp. 537-569
    • Jarrow, R.1    Chava, S.2
  • 22
    • 41849124090 scopus 로고    scopus 로고
    • Jarrow, R., Purnanandam, A., 2004. Capital structure and the present value of a firm's investment opportunities: A reduced form credit risk perspective. Working paper, Cornell University.
    • Jarrow, R., Purnanandam, A., 2004. Capital structure and the present value of a firm's investment opportunities: A reduced form credit risk perspective. Working paper, Cornell University.
  • 24
    • 14544289520 scopus 로고    scopus 로고
    • Default risk and diversification: Theory and applications
    • Jarrow R., Lando D., and Yu F. Default risk and diversification: Theory and applications. Mathematical Finance 15 1 (2005) 1-26
    • (2005) Mathematical Finance , vol.15 , Issue.1 , pp. 1-26
    • Jarrow, R.1    Lando, D.2    Yu, F.3
  • 25
    • 33845290226 scopus 로고    scopus 로고
    • The quantification of operational risk
    • Fall
    • Leippold M., and Vanini P. The quantification of operational risk. The Journal of Risk 8 1 (2005) 59-85 Fall
    • (2005) The Journal of Risk , vol.8 , Issue.1 , pp. 59-85
    • Leippold, M.1    Vanini, P.2
  • 26
    • 85011528625 scopus 로고    scopus 로고
    • Common Poisson shock models: Applications to insurance and credit risk modelling
    • Lindskog F., and McNeil A. Common Poisson shock models: Applications to insurance and credit risk modelling. ASTIN Bulletin 33 2 (2003) 209-238
    • (2003) ASTIN Bulletin , vol.33 , Issue.2 , pp. 209-238
    • Lindskog, F.1    McNeil, A.2
  • 27
    • 41849110098 scopus 로고    scopus 로고
    • Moscadelli, M., 2004. The modelling of operational risk: Experience with the analysis of the data collected by the basel committee. Technical Report 517, Banca d'Italia.
    • Moscadelli, M., 2004. The modelling of operational risk: Experience with the analysis of the data collected by the basel committee. Technical Report 517, Banca d'Italia.
  • 29
    • 41849144021 scopus 로고    scopus 로고
    • Risk Books, 2003. Modern Risk Management: A History, London.
    • Risk Books, 2003. Modern Risk Management: A History, London.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.