Flexible dependence modeling of operational risk losses and its impact on total capital requirements

By Eike C. Brechmann, Claudia Czado, Sandra Paterlini. 2014

54 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ce1d634e95ab5968f9c80890144393808c9c25a8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Lu Yang
2. Gee Y. Lee
3. Edward W. Frees
4. A. Daneshkhah
5. I. Holman
6. Renji Remesan
7. Omid Chatrabgoun

In Statistics and Probability

1. Lu Yang
2. Gee Y. Lee
3. Edward W. Frees
4. A. Daneshkhah
5. I. Holman
6. Renji Remesan
7. Omid Chatrabgoun
8. Jun Yan

Citations in the corpus

• Multivariate Frequency-Severity Regression Models in Insurance (2016, background): “applied the idea of the dependence between frequency and severity to the modeling of losses from operational risks in [57].”
• Probabilistic modeling of flood characterizations with parametric and minimum information pair-copula model (2016, methodology): “The copula application in hydrology largely began after De Michele and Salvadori (2003) highlighted the suitability of the Frank copula for the joint distribution of negatively associated storm intensity and storm duration data, whilst Grimaldi and Serinaldi (2006a,b) applied several trivariate copu”