Modeling, Measuring and Hedging Operational Risk

By Marcelo Cruz. 2002

299 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f9a4383aaf5087ac601f34508233fc12a4f0cda3

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Citations in the corpus

Applying Robust Methods to Operational Risk Modeling (2006, background): “Studies supporting the claim include Cruz (2002), Medova (2002), Moscadelli (2004), Embrechts et al. (2004), De Fontnouvelle et al. (2005), Chernobai et al. (2005), and Neslehová et al. (2006).”
Practical methods for measuring and managing operational risk in the financial sector: a clinical study (2008, methodology): “In order to obtain the total distribution of operational losses, these two distributions are then combined through n-convolution of the severity distribution with itself, where n is a random variable that follows the frequency distribution (see Frachot et al., 2001, for details).”
Improved algorithms for rare event simulation with heavy tails (2006, background): “…complexity; conditional Monte Carlo conditioning; control variate; logarithmic efficiency; M/G/1 queue; Pollaczek–Khinchin formula; rare event; regular variation; stratification; subexponential distribution; Weibull distribution 2000 Mathematics Subject Classification: Primary 65C60 Secondary 60K25”
Asymptotics of sums of lognormal random variables with Gaussian copula (2008, unknown): “…probability and its applications in risk management, such as the determination of risk measures like the Value-at-Risk (VaR) for given portfolios of risks, evaluation of credit risk, aggregate claims distributions in insurance, operational risk (Cruz, 2002; Frachot, Moudoulaud and Roncalli, 2004).”
Quantitative models for operational risk: Extremes, dependence and aggregation (2006, background): “A fast growing literature exists on the various aspects of operational risk modelling; see for instance Cruz (2002, 2004) and King (2001) for some textbook treatments.”
QUANTIFYING REGULATORY CAPITAL FOR OPERATIONAL RISK (2003, methodology): “Several authors have applied EVT to operational risk data, see for instance Cruz [7], King [12] and Medova [17].”