Practices and issues in operational risk modeling under Basel II

Lithuanian Mathematical Journal

Volumn 51, Issue 2, 2011, Pages 180-193

  Embrechts, Paul ^a   Hofert, Marius ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Basel II; operational risk modeling; practices and issues

Indexed keywords

EID: 79958032393     PISSN: 03631672     EISSN: 15738825     Source Type: Journal    
DOI: 10.1007/s10986-011-9118-4     Document Type: Article

References (12)

1. BIS, Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework-Comprehensive Version, 2006, available from: http://bis. org/publ/bcbs128. pdf. (17 May 2010).
2. BIS, Observed range of practice in key elements of Advanced Measurement Approaches (AMA), 2009, available from: http://www. bis. org/publ/bcbs160b. pdf. (17 May 2010).
3. BIS, Principles for sound stress testing practices and supervision, 2009, available from: http://www. bis. org/publ/bcbs147. pdf. (25 July 2010).
4. BIS, Results from the 2008 Loss Data Collection Exercise for Operational Risk, 2009, available from: http://www. bis. org/publ/bcbs160a. pdf. (17 May 2010).
5. V. Chavez-Demoulin, P. Embrechts, and J. Nešlehová, Quantitative models for operational risk: Extremes, dependence and aggregation, J. Banking Finance, 30(10): 2635-2658, 2006.
6. M. Degen, P. Embrechts, and D. D. Lambrigger, The quantitative modelling of operational risk: Between g-and-h and EVT, Astin Bull., 37(2): 265-291, 2007.
7. P. Embrechts, D. D. Lambrigger, and M. V. Wüthrich, Multivariate extremes and the aggregation of dependent risks: Examples and counter-examples, Extremes, 12: 107-127, 2009.
8. P. Embrechts and G. Puccetti, Aggregating risk capital, with an application to operational risk, Geneva Risk Insur. Rev., 30(2): 71-90, 2006.
9. P. Embrechts and G. Puccetti, Aggregating operational risk across matrix structured loss data, J. Oper. Risk, 3(2): 29-44, 2008.
10. P. Embrechts and G. Samorodnitsky, Ruin problem and how fast stochastic processes mix, Ann. Appl. Probab., 13(1): 1-36, 2003.
11. A. J. McNeil, R. Frey, and P. Embrechts, Quantitative Risk Management: Concepts, Techniques, Tools, Princeton Univ. Press, 2005.
12. J. Nešlehová, P. Embrechts, and V. Chavez-Demoulin, Infinite mean models and the LDA for operational risk, J. Oper. Risk, 1(1): 3-25, 2006.