Cyclicality in Catastrophic and Operational Risk Measurements

By Linda Allen, Turan G. Bali. 2007

124 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c919f48561ae32f896a4e2187030a015668e4e2c

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

1. Fan Yu
2. Anna Chernobai
3. Marco Rocco
4. Philippe Jorion
5. M. Nieto
6. Esther Ruiz

In Finance

1. Fan Yu
2. Anna Chernobai
3. Valentina Flamini
4. Liliana B. Schumacher
5. Calvin A McDonald
6. Marco Rocco
7. Philippe Jorion
8. M. Nieto

Citations in the corpus

• 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).”
• The Determinants of Commercial Bank Profitability in Sub-Saharan Africa (2009, background): “Using equity returns data over the period 1973–2003, Allen and Bali (2004) examine the catastrophic risk of financial institutions.”
• The Determinants of Operational Risk in U.S. Financial Institutions (2011, background): “Allen and Bali (2007) examine cyclicality in operational risk measures derived from the stock returns of financial institutions, after purging the effect of other sources of risks.”