Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice
By Donato Abbate, Elise Gourier, Walter Farkas. 2009
51 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/39c1ee4836458e98346177c0836c6b2a4f693a5c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ludger Rüschendorf
- Ruodu Wang
- Paul Embrechts
- Andrew J. Patton
- William T. Ziemba
- Yanqin Fan
- Xiaohong Chen
- Fabrizio Durante
In Finance
- Ruodu Wang
- Paul Embrechts
- Ludger Rüschendorf
- Antonela Beleraj
- Claudia Czado
- Kjersti Aas
- Andrew J. Patton
- Marius Hofert
In Statistics and Probability
- Ruodu Wang
- Paul Embrechts
- Ludger Rüschendorf
- Aaditya Ramdas
- Marius Hofert
- Toshinao Yoshiba
- Carole Bernard
Citations in the corpus
- Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2014, unknown): “on the properties and refer to Kurowicka and Cooke [2006] and Kurowicka and Joe [2011] for more details.”
- An Academic Response to Basel 3.5 (2014, background): “Operational risk data typically spans the whole range, and indeed beyond; see Moscadelli (2004) and Gourier et al. (2009).”