Articles by Peter Mitic
Correlations in operational risk stress testing: use and abuse
The paper presents an analysis of correlation effects of economic factors on the operational risk losses of a medium-large UK retail bank, and it recommends that causal factors that effect operational risk should be identified.
Incremental value-at-risk
This paper proposes a novel method for estimating future operational risk capital: incremental value-at-risk (IVaR)