QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK
By Paul Embrechts, H. Furrer, R. Kaufmann. 2003
130 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/c04ce93998566c2c702242a4ef3e1c7bffaad50f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- V. Chavez‐Demoulin
- Paul Embrechts
- Johana Nešlehová
- Svetlozar T. Rachev
- Anna Chernobai
- Gennady Samorodnitsky
- Ariane Chapelle
- Yves Crama
Citations in the corpus
- Quantitative models for operational risk: Extremes, dependence and aggregation (2006, methodology): “As explained in Embrechts et al. (2003, 2004), whereas EVT is the natural set of statistical techniques for estimating high quantiles of a loss distribution, this can be done with sufficient accuracy only when the data satisfy specific conditions; we further need sufficient data to calibrate the…”
- Applying Robust Methods to Operational Risk Modeling (2006, methodology): “…uses the Extreme Value Theory (EVT) to fit a Generalized Pareto Distribution (GPD) to extreme losses exceeding a high pre-specified threshold; see Embrechts et al. (2003), Embrechts et al. (2004), Chavez-Demoulin and Embrechts (2004), and Neslehová et al. (2006); an excellent reference on EVT…”
- Practical methods for measuring and managing operational risk in the financial sector: a clinical study (2008, background): “Severity distribution – large losses Small-sized samples containing few – if any – exceptional, very severe losses represent a common issue when dealing with operational losses in banks (see Embrechts et al., 2003).”
- Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “Specific conditions on the data are required to use EVT, which explains why it is still open to criticisms, discussed in Embrechts et al. (2003) and Embrechts et al. (2004).”
- Ruin theory revisited: stochastic models for operational risk (2002, methodology): “[35] a simulation study by McNeil and Saladin [54] is reported which estimates, in the case of independent and identically distributed (iid) data, the number of observations needed in order to achieve a pre–assigned accuracy.”