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Quantitative Models for Operational Risk: Extremes, Dependence and Aggregation
Year Of Publication: 2006
Month Of Publication: January
Pages: 34
Download Count: 1026
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 2-2-2006
Publisher: Administrator
Due to the new regulatory guidelines known as Basel II for banking and Solvency 2 forinsurance, the nancial industry is looking for qualitative approaches to and quantitativemodels for operational risk. Whereas a full quantitative approach may never be achieved,in this paper we present some techniques from probability and statistics which no doubtwill prove useful in any quantitative modelling environment. The techniques discussed areadvanced peaks over threshold modelling, the construction of dependent loss processesand the establishment of bounds for risk measures under partial information, and can beapplied to other areas of quantitative risk management.
Chavez-Demoulin, Valerie Sign in to follow this author
Embrechts, Paul Sign in to follow this author
Neslehova, Johanna Sign in to follow this author
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