Capital and Risk: New Evidence on Implications of Large Operational Losses

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Aggregating risk capital, with an application to operational risk (2006, background): “However, the bank may be permitted to use internally determined models to capture dependence in OR losses; see Chavez-Demoulin et al. (2005) for some advanced approaches to this task.”
An extreme value approach for modeling Operational Risk losses depending on covariates (2016, unknown): “2 Sensitivity of the model choice with respect to the choice of the threshold The outcome of a POT analysis is of course affected by the choice of the threshold u above which losses are modeled; see, for instance, de Fontnouvelle et al. (2004) and Shevchenko and Temnov (2009) for time varying thresh”
Mandatory Disclosure and Operational Risk: Evidence from Hedge Fund Registration (2008, background): “Fontnouvelle et al. (2003a, 2003b) find that operational losses for banks are large and significant.”
Cyclicality in Catastrophic and Operational Risk Measurements (2007, unknown): “This result is similar to the estimates obtained using different empirical methodologies by Kuritzkes (2002) and de Fontnouvelle et al. (2003).”
Model uncertainty and VaR aggregation (2013, background): “…(2004) as a matter of example and do not consider here the remaining extra statistical issues underlying a full Operational Risk analysis for which we refer to Frachot et al. (2004) and de Fontnouvelle et al. (2005) and the various references to the Operational Risk literature mentioned before.”