A Tale of Tails: An Empirical Analysis of Loss Distribution Models for Estimating Operational Risk Capital
By Kabir K. Dutta, Jason Perry. 2006
278 citations recorded by the source corpus.
Subfields: Demography, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/b4243440e0d948a7a4f38722ee843d04f2b96e47
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Dominik D. Lambrigger
- M. Degen
- Paul Embrechts
- J. Marín
- E. Rodríguez
- Marco Rocco
- William T. Ziemba
- Gordon E. Willmot
In Finance
- Marco Rocco
- Dominik D. Lambrigger
- M. Degen
- Paul Embrechts
- J. Marín
- E. Rodríguez
- Claudia Czado
- Kjersti Aas
In Management Science and Operations Research
- Marco Rocco
- Dominik D. Lambrigger
- M. Degen
- Paul Embrechts
- J. Marín
- E. Rodríguez
- Ludger Rüschendorf
- Andrew J. Patton
Citations in the corpus
- The Quantitative Modeling of Operational Risk: Between G-and-H and EVT (2007, background): “In the case h = 0, equation (1) reduces to X = a + b , g e 1gZ - which is referred to as the g-distribution.”
- Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness (2009, unknown): “Keywords: Value-at-Risk, subadditivity, dependence structure, Archimedean copula, aggregation.”
- Extreme Value Theory for Finance: A Survey (2012, background): “Work in this area can be found in Moscadelli (2004), Dutta and Perry (2006), Allen and Bali (2007), Jobst (2007), Abbate et al. (2008), Chapelle et al. (2008) and Serguieva et al. (2009).”
- Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “We refer in particular to Moscadelli (2004), De Fontnouvelle et al. (2004) and Dutta and Perry (2007).”
- An extreme value approach for modeling Operational Risk losses depending on covariates (2016, unknown): “Of course, industry has to show to the regulators that the model fits well; on the latter, Dutta and Perry (2006) contains a list of basic principles an internal model has to satisfy.”
- Determining operational capital at risk: an empirical application to the retail banking (2009, methodology): “Concerning the frequency, and following Frachot et al. (2003), the Poisson distribution is used successfully in the actuarial techniques, and is a suitable candidate since it is characterised by a single parameter (λ), which represents the number of events per year.”