The Quantitative Modeling of Operational Risk: Between G-and-H and EVT

By M. Degen, Paul Embrechts, Dominik D. Lambrigger. ASTIN Bulletin: The Journal of the International Actuarial Association, 2007

160 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “In theory, Proposition 4.1 of Degen et al. (2007) states that when ξ < 1, the VaRα is subadditive for α sufficiently large.”
Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, background): “Influential papers from the regulatory side concerning several quantitative impact studies are Moscadelli (2004), de Fontnouvelle et al. (2006) and Dutta and Perry (2007).”
Risk concentration and diversification: Second-order properties (2009, background): “(2002) or Degen et al. (2007). More recently, Ibragimov and Walden (2007) and Ibragimov et al.”
Copulas: A Personal View (2009, unknown): “are Embrechts and Puccetti [15], Degen et al. [ 8 ] for the former and Aas et al. [1] for the latter.”