Loss Distribution Approach in Practice

By A. Frachot, Olivier Moudoulaud, Thierry Roncalli. 2007

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Aggregating risk capital, with an application to operational risk (2006, methodology): “It is typically impossible to derive analytical expressions for this kind of convolution: MonteCarlo simulations or numerical approximation are used in practice; see Frachot et al. (2004) and H¨ urlimann (2004), respectively.”
Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “This goes along with Frachot et al. (2004b). The rank correlations are in most of the cases quite weak, except BL1/BL9.”
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.”
Model uncertainty and VaR aggregation (2013, methodology): “…(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.”
Improved algorithms for rare event simulation with heavy tails (2006, unknown): “[11] and [14]).”